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| Can Air Quality Affect the Stock Market? |
| GUO Yongji, ZHANG Yihao
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| Department of Management Science and Engineering/School of Business, Nanjing University |
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Abstract 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 channels 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.
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Received: 03 July 2014
Published: 01 January 1900
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