Is there relationship between air quality and China’s stock market? Evidence from industrial heterogeneity

Ge Song, Zhiqing Xia, Kai-Hua Wang and Otilia Manta

Economic Research-Ekonomska Istraživanja, 2023, vol. 36, issue 1, 2320-2340

Abstract: 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.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2022.2097107 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:reroxx:v:36:y:2023:i:1:p:2320-2340

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2022.2097107

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().