The Impact Of Smog On The Stock Returns Of Related Industries

In recent years,the frequent occurrence of hazy weather in China has become the most important issue of environmental pollution in China.The management of haze has also become the most important aspect of air pollution control in China in recent years,and PM2.5 that causes haze has been attracting more and more attention.Due to the characteristics of the 'hot spot concept chase' in China's stock market,'PM2.5'has become a hype concept in China's stock market,corresponding to the PM2.5 concept stocks.Up to now,there have been a lot of literatures about the impact of air pollution on the stock market at home and abroad.Looking at this type of literature,there are mainly the following two deficiencies.First of all,most of the literature is based on emotional transmission channels.The stock index is used as the research object and there is no distinction between the industries of stocks.However,there are stocks in the industries related positively and negatively to air pollution.The impact of air pollution on such stocks is not only through emotional channels.Refining stock market research into air pollution-related industry stocks can enrich and improve theoretical transmission and channel of the mechanism.At present,the research on the impact of China's PM2.5 pollution level on related industry stocks is still blank.Second,most of the literature has simply studied the impact of air pollution on variables such as stock market returns and turnover rates,and does not explore the internal links between variables.Analyzing the transmission channels of haze impacting the related industry stocks,in addition to emotional channel which is the theoretical basis of a lot of related literature,there are policies and consensus channels.In order to control haze pollution,the government has formulated the corresponding policies conducive to the development of the industries about environmental protection in politics and economy,while supervision over the high pollution and high emission industries such as the steel and coal industries has been intensified,which would undoubtedly have a great impact on the development of these enterprises' prospects and profitability.At the same time,prospects and profitability are important considerations of investors.Investors tend to bullish on the PM2.5 concept,environmental protection sectors,and bearish on high pollution and high emission enterprises such as coal and steel.As the current situation of haze pollution in China is grim,and Beijing,the capital city ofChina,is located in the Beijing-Tianjin-Hebei region whose haze pollution is the most serious in China.Media coverage of haze has caused a lot of reports,and investors are expected to be affected.As a result,investors would bullish on environmental protection industry stocks,bearish on polluting industry stocks.Coupled with China's unique 'hot pursuit concept' features,PM2.5 concept stocks and environmental protection stocks would further be sought after by investors.The main content of this paper is to study the impact of average daily pollution level of PM2.5 in Beijing and Shanghai between January 2013 and December 2017 on the return rate and investor behavior(turnover ratio and net active purchase rate)of stocks related to haze(PM2.5 concept,environmental protection,coal and steel sectors),and further to test whether investor behavior has played an intermediary transmission effect as an intermediary variable when haze affected the return rate of stocks or not.Compared to existing literature,the innovation of this article is probably researching the effect of PM2.5 pollution on stock returns and investor behavior in related industries,and testing the mediator effects of investor behavior in the impact of PM2.5 pollution on stock returns.The empirical results showed that the average daily PM2.5 pollution levels in Beijing and Shanghai has had a significant positive impact on the PM2.5 concept and environmental protection index constituent stocks,regardless of PM2.5 pollution in Beijing or Shanghai,PM2.5 conceptual index constituents has had been influenced most.For coal and steel index stocks,only the daily average PM2.5 pollution level in Beijing has had a significant negative impact on the return of constituents of the coal index.For the impact of haze on investor behavior,the daily average PM2.5 pollution levels in Beijing and Shanghai have had no significant impact on the turnover rate of the PM2.5 concept and environmental protection index constituents,and significant negative impact on both coal and steel index stocks.For the net active buying rate,both Beijing and Shanghai daily average PM2.5 pollution have had significant positive impact on PM2.5 concept and environmental protection index constituent stocks,and have had a significant negative effect on the coal and steel index constituent stocks.When examining the mediator effects of haze on the behavior of investors in the relevant industry index constituent stocks,it was found that the PM2.5 concept and the environmental index constituent stocks' net active buying rate,the coal index constituent stocks turnover rate and net active buying rate have had significant mediator effect.The result of steel index constituent stocks was special.The yield of steel stocks was not significantly affected by the degree of PM2.5 pollution in Beijing and Shanghai,but the turnover rate and net active buying rate were both affected.Steel stocks' turnover rate and net active buying rate have had no significant mediator effect on the yield,but had a significant mediator effect on volatility.Therefore,for research on the impact of haze on the stock market,the division of the stock industry is of great significance.The realistic significance of this article is that the government can understand the rules and mechanisms of the haze's impact on the capital market and investors,and at the same time,if similar sudden large-scale natural disasters occur again,the volatility of the capital market can be expected.The government can comprehensively consider its impact,and adopt comprehensive and reasonable countermeasures.Enterprises can better adjust strategy and industrial planning accordingly,layout in the field of environmental protection,accelerate the transformation of polluting industries.Investors can make better investment decisions based on this.In the case of severe smog in Beijing,through the purchase of PM2.5 concept stocks and environmental protection stocks and the sale of coal stocks,investors can obtain excess returns.