雾霾对中国股市收益的影响  

The effect of haze on Chinese stock market

作　　者：万孝园 陈欣[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2016年第1期81-94,共14页Review of Investment Studies

摘　　要：本文研究空气污染,尤其是雾霾对中国股市收益的影响,发现自2013年以来,当发生雾霾时,上海及深圳市场的股票指数日收益率均显著为负。在控制了其它效应后,雾霾对股票指数日收益率的负面影响依然显著。个股层面回归分析表明,小市值公司的股票和投机性较强的"彩票类"股票更容易受到雾霾的影响。本文结果表明,雾霾通过投资者情绪对股市收益产生负面影响,从而为空气污染在中国股票市场的负面溢出效应提供了证据。This paper studies the effects of air pollution, especially haze, on Chinese stock market return. We find that since 2013 the average daily returns of stock indices are significantly negative in haze days. Even after other factors are controlled, haze still has a negative effect on daily return of stock indices. In addition, firm-level regressions show that small stocks and the lottery-like stocks tend to be influenced more by haze. Our findings imply that haze has a negative effect on stock market returns through the channel of investor sentiment, and provide evidence about negative externalities of air pollution in Chinese stock markets.

关 键 词：雾霾 股票市场收益率 投资者情绪 

分 类 号：X51[环境科学与工程—环境工程] F832.51[经济管理—金融学]