雾霾污染会影响股票收益吗?——基于上证股票指数的实证研究  

Does Haze Pollution Affect Stock Revenue? An Empirical Study on the Stock Indexes from China's Shanghai Stock Market

作　　者：高彦彦[1] 张嘉润 GAO Yan-yan;ZHANG Jia-run

机构地区：[1]东南大学经济与管理学院 [2]复旦大学经济学院

出　　处：《产业经济评论》2018年第4期45-60,共16页Review of Industrial Economics

基　　金：国家自然科学基金面上项目(71771052);教育部人文社科基金青年项目(17YJC790040);中央高校基本科研业务费项目(2242018S20023)的阶段性研究成果

摘　　要：近年来,雾霾污染已经发展成为一个备受关注的公共健康问题,并通过生理情绪效应和政策预期效应来影响股票投资行为和股票市场。本文使用2013年至2016年间所有交易日的上证股指数据和上海市气象局数据,采用风速为雾霾污染的工具变量,运用Probit模型来估计雾霾污染与股票收益之间的经验关系。研究结果发现雾霾污染对整体股市收益具有显著的负面效应,使上证股指收益为正的概率下降50%。这一关系在运用"雾霾"和"PM2.5"百度搜索趋势为雾霾污染度量时仍然成立。基于上证行业和主题板块股指收益的估计发现,情绪效应而非政策效应是雾霾污染降低股市收益的主导力量,且基于雾霾进行题材和概念炒作并不能获得预期为正的回报。本文的实证结果为评估当前的雾霾治理政策以及投资者制定投资决策提供了有益的研究参考。In recent years,fog and haze pollution(HP)has developed into a public health issue,and influenced investment behaviors and stock market through either emotion effect or policy-expectation effect.Using daily data of Shanghai stock index,Shanghai air quality and weather information from 2013 to 2016,this paper uses Probit model with instrument variables method to estimate the effect of HP on the stock revenue.The results show that HP produces a significant adverse effect on Shanghai Composite Index’s revenue which reduces the possibility of positive revenue by over 50%.The results are robust to alternative measures of HP including the Baidu trends regarding the keyword of“Haze pollution”and“PM2.5”.Further results using Shanghai Sector Index and Theme Index show that the emotion effect rather than policy-expectation effect dominates the adverse effect of HP on stock revenue and a positive revenue cannot be realized as expected from stock speculations related to HP.This study has strong implications for evaluating the current HP governance policy and investment policies based on HP.

关 键 词：雾霾污染 股票收益 PROBIT模型 工具变量法 

分 类 号：X513[环境科学与工程—环境工程] F832.51[经济管理—金融学]