空气质量对PM_(2.5)概念股市场的影响研究

Research on the Impact of Air Quality on PM_(2.5) Concept Stock Market

利用多元线性回归方法和面板数据模型,检验空气质量和天气状况对PM_(2.5)概念股市场的影响.研究结论显示:空气质量指数(AQI)和PM_(2.5)浓度对概念股市场存在影响,收益率对利好消息的反应更为灵敏,空气质量和天气状况对不同总体性收益指标的影响存在差异;PM_(2.5)浓度变化对股市收益虽有一定影响,但PM_(10)、SO_2、NO_2浓度等其他空气质量变量对股市收益的影响相对更强;投资者情绪变化对个股波动率、换手率和成交量均产生显著的负面影响;现阶段空气质量尚未成为投资交易决策的主要考量因素.

This paper uses multiple linear regression method and panel data model to test the impact of air quality and weather conditions on PM 2.5 concept stock market.The results show that the air quality index and PM 2.5 concentration have an impact on the concept stock market,the yield is more sensitive to the good news,and the impact of air quality and weather conditions on different overall income indicators is different.Although the change of PM 2.5 concentration has a certain impact on the stock market return,the influence of other air quality variables such as PM 10,SO 2,NO 2 is relatively stronger.The change of investor sentiment has a significant negative impact on individual stock volatility,turnover rate and trading volume.The conclusion of this paper shows that air quality is not the main factor affecting the investment and trading decision at this stage.