摘要
空气污染作用于股票市场的传导链条中,主要包括客观性空气污染的直接影响和主观性空气污染关注的间接影响两种。本文以沪深300指数作为研究样本,通过构建空气污染和空气污染关注两种关键的代理变量,综合运用相关性检验、T检验、Logit回归模型和多元线性回归模型等多种方法实证探究空气污染是否、以及如何影响股票市场。实证结果表明:空气污染对股票市场具有影响;空气污染对股票市场换手率的影响强于收益率和波动率;空气污染关注代理变量对股票市场的影响强于空气污染代理变量,且具有一定的滞后性。
The means of air pollution＇s influence on the stock market include the direct influence of objective air pollution and the indirect influence of subjective air pollution attention. This thesis explores the relationship between air pollution and the stock market, namely by studying CSI 300, constructing proxy variables for air pollution, and applying correlation test, t-test, Logit regression and multiple linear regressions. The empirical result shows that： air pollution proxy variables have significant impacts on the stock market; air pollution has a greater influence on the turnover rate, compared with the yield rate and the vol- atility; air pollution attention proxy variable has a greater influence on the stock market than air pollution proxy variable, and it has hysteretic quality.
出处
《中国经济问题》
CSSCI
北大核心
2017年第5期120-135,共16页
China Economic Studies
基金
教育部新世纪优秀人才支持计划(NCET-13-0286)
教育部人文社会科学重点研究基地重大项目(14JJD790006)
江苏省社科基金(14EYB008)的资助
关键词
空气污染
关注
股票市场
air pollution
attention
stock market
