Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2097107
Is there relationship between air quality and China’s stock market? Evidence from industrial heterogeneity
Ge Song
Zhiqing Xia
Kai-Hua Wang
Otilia Manta
Sažetak
This study investigates the unsymmetrical effect from air quality
(AQ) to stock return (SR) in China’s different industries.
Depending on quantile-on-quantile (QQ) test, it draws the important
results in following aspects. For tourism, iron and steel, and
automobile industries, their coefficient values between AQ and SR
turn into negative from positive with deteriorating AQ.
Conversely, the coefficients in the wind power, hydro power, thermal
power, environmental protection, and medical equipment
industries turn positive from negative. Some contributions are
thus drawn when compared to existing literatures. Government
industrial policy is regarded as an important supplement in
explaining mechanism from AQ to SR, except investor sentiment.
Industrial heterogeneity is seriously treated in this paper due to
different industries have different responses to AQ. Besides, the
QQ test is able to capture nexus between AQ and SR in specific
quantiles through embedding non-parametric estimation into
conventional quantile approach. Therefore, investors should avoid
biased trading decisions under different air qualities. Meanwhile,
government intervention is paid special attention when appearing
serious air pollution.
Ključne riječi
Air quality; stock return; industrial heterogeneity; quantile-on-quantile method
Hrčak ID:
304229
URI
Datum izdavanja:
31.3.2023.
Posjeta: 422 *