摘要
空气质量可能通过情绪、政策和预期等渠道影响股票市场参与者,并最终影响股票市场。本文运用2006年1月4日至2013年1月14日上海空气质量指数和上证沪企指数等相关数据,利用多元递进的实证方法,分析了空气质量能否以及如何影响股票市场这个关键问题。实证研究发现:空气质量对股票市场的收益率、换手率和波动率均有影响,空气质量影响股票市场的情绪渠道及其他渠道是存在的。优等的空气质量使股票市场倾向于获得更高的收益率、更低的换手率和波动率;而空气污染与空气质量优等时产生的影响则具有对称性。基于混频回归的稳健性检验可以排除空气质量与股票市场之间的内生性问题。
Air quality may affect stock market participants and ultimately affect stock market through the channels of emotion, policy and expect. This paper empirically analysis the key problem of whether and how the air quality affects stock market with the Shanghai air quality index and Shanghai listed companies＇ stock prices index data from 2006.1.4 to 2013.1.14 using multivariate progressive methods. The empirical studies find the air quality has influences on the stock market returns, turnover rate and volatility. The emotion and other chan- nels of the air quality＇ s effect on stock market exist. The good air quality tends to lead stock market get higher returns, lower turnover rate and volatility. The impact of air pollution is symmetry to good air quality. Robustness based on mixing frequency regression tests can rule out the possibility of endogenous.
出处
《金融研究》
CSSCI
北大核心
2016年第2期71-85,共15页
Journal of Financial Research
基金
教育部"新世纪优秀人才支持计划"(NCET-13-0286)
教育部人文社科重点研究基地重大项目(14JJD790006)
江苏省社科基金(14EYB008)
中国博士后科学基金资助项目(2014M550276
2015T80525)的资助
