Air Quality?Air Quality Concerns And The Stock Market

Financial research has always been based on the rational person hypothesis,the efficient market hypothesis(EMIH),and the capital asset pricing model(CAPM)to explain financial markets.However,in recent years,financial markets have seen more and more such as monthly effects and stock premiums.Anomalous phenomena that cannot be explained by traditional financial theory,such as earnings announcement effects.In this context,behavioral finance came into being.Scholars began to study the influence of psychology and behavior on the stock market,and weather is one of the most important factors influencing people's psychological and behavioral factors.The first scholar to publish an article about the relationship between the weather and the stock market is Saunders(1993).He found that there is a negative correlation between Wall Street coverage and stock prices.Since then,the relationship between the weather and the stock market has attracted widespread attention.In recent years,most of the relevant literature mainly studies the influence of lighting duration,temperature,humidity,extreme weather and other factors on the stock market.There are few studies on the relationship between air quality,air pollution and stock market.This paper takes the environmental protection index,new energy index,coal index and steel index as the research samples,and selects the relationship between weather variables and the main trading indicators of the stock market from December 31,2014 to December 29,2017.Conducted research and creatively used the air quality index AQI and air quality attention AQISI two key agent variables for comprehensive consideration;attempted to construct a national air quality proxy variable AQI and air quality concern proxy variable AQISI,by comparing it with the stock market Regression analysis was conducted on major trading indicators such as yield and volatility to study the correlation between air quality and stock market.The research findings in this paper are as follows:(1)From the daily average data,the air quality proxy variable AQI and the air quality concern proxy variable AQISI are related to the stock market;(2)compared with the impact on the environmental index and the new energy index,Air quality has a stronger impact on coal index and steel index.At the same time,there is a certain lag in the impact of air quality on yield and turnover rate.In addition,compared with air quality proxy variable AQI,air quality pays attention to proxy variable AQISI to stock.The impact of the market is stronger.