中国PM2.5指数对股市影响的实证分析

An Empirical Analysis of the Impact of China's PM2.5 Index on the Stock Market

在现有行为金融学的理论基础上,以全国PM2.5指数和沪深300股票的交易额、涨跌数据为例,对空气质量和投资者情绪之间的关系进行了研究。区分了股票市场表现中对相关股票的理性判断和情绪的不同影响。提出了"累积传导机制"和"情绪滞后机制"两种空气质量影响股市表现作用机制的猜想,构建了面板数据。运用向量自回归模型进行了分析,发现全国PM2.5指数对沪深300交易的增量具有显著的正向影响,对股票的涨跌影响较小。

Based on the existing theory of behavioral finance,we study the relationship between air quality and investor sentiment by taking the national PM2.5index and the trading volume and price of Shanghai-Shenzhen300stocks as examples.We distinguish the different influences of the rational judgments and emotions on the relevant stocks in the performance of the stock market.We propose two mechanisms in which the air pollution can affect the stock performance:“accumulated conduction mechanism”and“emotional lag mechanism”.Using the vector autoregressive model and the panel data we constructed,we find that the national PM2.5index has a significant positive impact on the increment of the Shanghai-Shenzhen300transactions,and has little effect on the price of the stock market.