The Impact Of Air Quality On Stock Returns In Polluting Industries

Since the reform and opening up,China has made great achievements in economy.In 2016,China’s GDP was 74 trillion and 400 billion yuan,making more than 30%contribution to the growth of the world economy.At the same time of rapid economic development,the problem of inadequately balanced economic development has gradually emerged.Air pollution is one of the informs of imbalanced economic development.In 2016,only 24.9%cities in prefecture level and above met the national standard of the air quality.Air pollution seriously affects residents’ physical and mental health and economic sustainable development.The worsening air quality problem has aroused widespread concern in the society.Meanwhile,the stock of polluting industries is attracting more and more attention from investors.In this background,based on the analysis of the influence of air quality on the stock market,this paper takes Beijing,Tianjin and Hebei regions as an example,and focuses on the use of Z test and linear regression analysis to analyze the influence of air quality on the stock returns of the polluting industry,and further analyzes the tail correlation between the rate of return to the price index of the ticket.by using the Copula function analysis method.After the study,the following conclusions are obtained:(1)The air quality of Shijiazhuang Hebei is the worst,followed by Beijing.And the air quality in Tianjin is relatively good.The air quality in Beijing,Tianjin and Hebei regions is mainly affected by ozone in summer.The rest of the season is mainly affected by PM2.5.The air quality is relatively poor around 10 am and the air quality is relatively good at about 16 pm.(2)The impact of air quality on the stock return of polluting industries is related to the degree of air quality,showing heterogeneity.When the air quality is good,there is a significant positive relationship.Better air quality can explain 3.26%of the higher rate of return.When air quality is seriously polluted,there is a significant negative relationship.4.83%of low return in polluting industries is caused by poor air quality.The main features and innovation of the paper are as follows:(1)Air quality index and stock price index of Beijing,Tianjin,Hebei regions calculation.The air quality index(AQI)of Beijing,Tianjin,Hebei regions is calculated by using the air quality index released by the Ministry of environmental protection.The Shanghai stock index of the polluting industries in Beijing,Tianjin and Hebei regions was compiled by using the method of Shanghai 180 issued by CITIC Index Limited.(2)Based on the classic stock market theory,the factors of air quality are added to the classic stock market theory,then the effect of air quality on the stock return of the polluting industry is explored.