The effects of haze pollution on stock performances: evidence from China

被引：23
|
作者：
Zhang, Yihao [1 ]
Jiang, Yu [1 ]
Guo, Yongji [1 ]
机构：
[1] Nanjing Univ, Dept Finance & Insurance, Nanjing 210093, Jiangsu, Peoples R China
来源：
APPLIED ECONOMICS | 2017年 / 49卷 / 23期
基金：
中国国家自然科学基金;
关键词：
Haze pollution; investors' mood; stock returns; stock volatilities; RETURNS; MARKET; RISK; ATTENTION; BEHAVIOR; STREET; HERD;
D O I：
10.1080/00036846.2016.1234703
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Haze pollution has become the most important environmental issue in China in recent years. Using the data of PM2.5 concentration and stocks of listed companies located in Beijing between 2010 and 2014, this article investigates the effects of haze pollution on stock performances. Empirical results indicate that haze pollution has significant negative effects on stock returns and significant positive effects on stock volatilities, through the channel of investors' mood. Furthermore, the effects of haze pollution on stock returns emerge gradually and the effects of haze pollution on stock volatilities weaken gradually over time during a trading day.
引用
收藏
页码：2226 / 2237
页数：12
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