Air Quality、environmental Awareness And Stock Market ——Evidence From China

In recent years,while China’s economy is developing rapidly,environmental pollution,especially air pollution,has become increasingly prominent.Air pollution has gradually attracted public attention,and the impact of environmental factors on the stock market has become a hot topic of behavioral finance.However,researches on weather phenomena or air pollution and the stock market are mostly based on actual air quality characteristics,and few are based on the emotional response to air pollution.The research on the stock market is lacking.The subsequent impact is not analyzed,so it is of great significance to systematically study the correlation between actual air quality,environmental awareness and the stock market.In addition,the current research on air quality and stock market focuses on the mediating effect of investor sentiment.Based on the environmental consciousness of investors,this article explores the effect of actual air quality on the stock market,and it is a powerful supplement to study of air quality and stock market or related research.This article reviews related research on air quality,environmental awareness,and the stock market,and selects the CSI 300 Index as the research sample.The relevant data of the volatility,turnover rate and profitability of listed companies were obtained through the CSMAR database,and the research scope was determined by this.The daily air quality index was obtained through the data platform of the Ministry of Environmental Protection of China.Finally,300 companies from 2014 to 2019 were selected as research objects.First,this article examines the potential effects of air quality on the stock market through multiple linear regression models and Logit models.Second,it examines the cross-effects of actual air quality and environmental awareness on the stock market.Finally,after reviewing the relationship between air quality,investor sentiment,and the stock market,this article explores the correlation between environmental awareness and investor sentiment.The research results show that:（1）Air quality has a significant negative effect on the stock market volatility,turnover rate and return rate,but when air pollution reaches a higher level,its impact on volatility turns into a positive reaction.（2）The interaction between the national air quality index and environmental awareness shows that air quality and environmental awareness can affect investors’ trading behavior and the stock market together.In the high air pollution group,with the reduction of the actual national air pollution,the positive effects of environmental awareness on the volatility and turnover rate increased,and the negative effects on the return rate also increased;In the low-air pollution group,the degree of air pollution decreases,the negative effect of environmental awareness on stock returns increases,and the negative impact on volatility and turnover in the stock market is greater.（3）Extensive testing found that environmental awareness is the Granger reason for investor sentiment indicators,that is,environmental awareness is a deeper reason that affects the stock market compared to investor sentiment.The research in this article builds a new system of air quality affecting the stock market,contributing to the literature on psychological prejudice and market efficiency.Starting from the level of cognitive awareness of the environment,it enriches the research on the stock market effect of air pollution and proves that the role of emotional responses to air pollution in investor decision-making.