Research On The Impact Of Air Quality On The Return Of Stock Investment In The Air Pollution Control Industry

With the rapid development of economy,the problem of environmental pollution has become more and more prominent,among which haze has been erupting continuously in the past ten years as a social haze event,has caused great harm to the healthy life of residents and has attracted wide attention from all society.With the intensive introduction of various environmental protection policies,the pollution sources have been strictly controlled and restricted,which brings a broad market prospect for the air pollution control industry,and has led to the emergence of many conceptual stocks related to haze in the capital market.Based on these conceptual stocks,this paper focuses on air-pollution control enterprises,investigate the three mechanisms by which air pollution affects investors' expectations for performance improvement,investor sentiment and investor attention,study how air quality will ultimately affect the stock returns of the air pollution control industry.In consideration of regional differences in air pollution,AQI weighted index was firstly constructed by combining financial activity and population data of various regions.Referring to the regulations of the CSRC,this paper defines the air pollution control industry,and constructs the stock index of it.In the empirical part,this paper uses the event study method to examine the impact of environmental policy on the stock returns of air pollution control industry,and then adopts the multiple linear regression model and the vector autoregressive model to investigate the influence of air pollution on the stock return rate of air pollution control industry.The conclusions of this paper are as follows:(1)The promulgation of environmental protection policy will affect the return rate of stock index in air pollution control industry,and there may be information leakage.It has been found that the stock index yield rate of air pollution control industry is highly correlated with Shenzhen stock index.The cumulative excess return rate of the stock index of the air pollution control industry rose within 10 to 15 trading days before the promulgation of the policy,and will experience a short decline in few days,indicating that there may be information leakage before the policy is promulgated.(2)Air quality has a significant impact on the return rate of stock index in air pollution control industry,but it has timeliness.The results of multiple linear regression model and the VAR model show that during the period of high air pollution incidence,air quality has a significant impact on the stock index return rate of air pollution control industry,which will reach the maximum on the second trading day after the occurrence of air pollution.