Air pollution, investor sentiment and stock liquidity
With the aggravation of air pollution, the impact of air pollution on the stock market, especially from the perspective of investor sentiment, has been of great concern and widely discussed. Based on data from China's A-share listed firms from January 1, 2016, to December 31, 2020, the relation...
| Main Authors: | , , , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2022-10-01
|
| Series: | Frontiers in Public Health |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fpubh.2022.989457/full |
| _version_ | 1797997241035653120 |
|---|---|
| author | Chenggang Li Chenggang Li Ying Yan Yi Lu Guifeng Zeng Liying Zhou Liying Zhou Han Jin Yunbao Xu Yuzhu Chen |
| author_facet | Chenggang Li Chenggang Li Ying Yan Yi Lu Guifeng Zeng Liying Zhou Liying Zhou Han Jin Yunbao Xu Yuzhu Chen |
| author_sort | Chenggang Li |
| collection | DOAJ |
| description | With the aggravation of air pollution, the impact of air pollution on the stock market, especially from the perspective of investor sentiment, has been of great concern and widely discussed. Based on data from China's A-share listed firms from January 1, 2016, to December 31, 2020, the relationship between urban air pollution and stock liquidity of listed firms and the internal mechanism is examined. Firstly, based on local preference theory, we start by predicting the impact of air pollution on stock liquidity. We, then, build a regression model for air pollution and stock liquidity, introducing the intermediary effect model to detect the relationship between the two and its mechanism. Finally, by subdividing the samples, we discuss the differential impact of air pollution on stock liquidity under different circumstances. We found that when air pollution worsens it reduces stock liquidity. The results of the mechanism analysis show that investor sentiment plays an intermediary role in the process of air pollution affecting stock liquidity, and pessimism induced by air pollution can reduce stock liquidity. Heterogeneity test results show that there are differences in the impact of air pollution on stock liquidity between heavily polluting firms and non-heavily polluting firms, different industries, different city sizes, and different levels of air pollution, has a greater effect in non-heavily polluting enterprises, manufacturing and other industries, medium sized cities and light pollution. The results of this research have important reference value for environmental protection departments to establish and improve air pollution monitoring systems and for listed firms to improve stock liquidity and deal with the environmental financial risks appropriately. |
| first_indexed | 2024-04-11T10:29:51Z |
| format | Article |
| id | doaj.art-08a77199368440718a6ad816c5d8a1ff |
| institution | Directory Open Access Journal |
| issn | 2296-2565 |
| language | English |
| last_indexed | 2024-04-11T10:29:51Z |
| publishDate | 2022-10-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Public Health |
| spelling | doaj.art-08a77199368440718a6ad816c5d8a1ff2022-12-22T04:29:28ZengFrontiers Media S.A.Frontiers in Public Health2296-25652022-10-011010.3389/fpubh.2022.989457989457Air pollution, investor sentiment and stock liquidityChenggang Li0Chenggang Li1Ying Yan2Yi Lu3Guifeng Zeng4Liying Zhou5Liying Zhou6Han Jin7Yunbao Xu8Yuzhu Chen9School of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang, ChinaGreen Development Strategy Research Institute in Western China, Guizhou University of Finance and Economics (First Batch of New Characteristic Think Tanks in Guizhou), Guiyang, ChinaSchool of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang, ChinaBusiness School, Sichuan University, Chengdu, ChinaArchives of Hunan Institute of Engineering, Xiangtan, ChinaBusiness School, Guizhou University of Finance and Economics, Guiyang, ChinaGuizhou Key Laboratory of Big Data Statistical Analysis, Guizhou University of Finance and Economics, Guiyang, ChinaSchool of Big Data Application and Economics, Guizhou University of Finance and Economics, Guiyang, ChinaSchool of Economics, Hunan Institute of Engineering, Xiangtan, ChinaSchool of Foreign Languages, Guizhou University of Finance and Economics, Guiyang, ChinaWith the aggravation of air pollution, the impact of air pollution on the stock market, especially from the perspective of investor sentiment, has been of great concern and widely discussed. Based on data from China's A-share listed firms from January 1, 2016, to December 31, 2020, the relationship between urban air pollution and stock liquidity of listed firms and the internal mechanism is examined. Firstly, based on local preference theory, we start by predicting the impact of air pollution on stock liquidity. We, then, build a regression model for air pollution and stock liquidity, introducing the intermediary effect model to detect the relationship between the two and its mechanism. Finally, by subdividing the samples, we discuss the differential impact of air pollution on stock liquidity under different circumstances. We found that when air pollution worsens it reduces stock liquidity. The results of the mechanism analysis show that investor sentiment plays an intermediary role in the process of air pollution affecting stock liquidity, and pessimism induced by air pollution can reduce stock liquidity. Heterogeneity test results show that there are differences in the impact of air pollution on stock liquidity between heavily polluting firms and non-heavily polluting firms, different industries, different city sizes, and different levels of air pollution, has a greater effect in non-heavily polluting enterprises, manufacturing and other industries, medium sized cities and light pollution. The results of this research have important reference value for environmental protection departments to establish and improve air pollution monitoring systems and for listed firms to improve stock liquidity and deal with the environmental financial risks appropriately.https://www.frontiersin.org/articles/10.3389/fpubh.2022.989457/fullair pollutionair quality indexinvestor sentimentstock liquidityturnover rate |
| spellingShingle | Chenggang Li Chenggang Li Ying Yan Yi Lu Guifeng Zeng Liying Zhou Liying Zhou Han Jin Yunbao Xu Yuzhu Chen Air pollution, investor sentiment and stock liquidity Frontiers in Public Health air pollution air quality index investor sentiment stock liquidity turnover rate |
| title | Air pollution, investor sentiment and stock liquidity |
| title_full | Air pollution, investor sentiment and stock liquidity |
| title_fullStr | Air pollution, investor sentiment and stock liquidity |
| title_full_unstemmed | Air pollution, investor sentiment and stock liquidity |
| title_short | Air pollution, investor sentiment and stock liquidity |
| title_sort | air pollution investor sentiment and stock liquidity |
| topic | air pollution air quality index investor sentiment stock liquidity turnover rate |
| url | https://www.frontiersin.org/articles/10.3389/fpubh.2022.989457/full |
| work_keys_str_mv | AT chenggangli airpollutioninvestorsentimentandstockliquidity AT chenggangli airpollutioninvestorsentimentandstockliquidity AT yingyan airpollutioninvestorsentimentandstockliquidity AT yilu airpollutioninvestorsentimentandstockliquidity AT guifengzeng airpollutioninvestorsentimentandstockliquidity AT liyingzhou airpollutioninvestorsentimentandstockliquidity AT liyingzhou airpollutioninvestorsentimentandstockliquidity AT hanjin airpollutioninvestorsentimentandstockliquidity AT yunbaoxu airpollutioninvestorsentimentandstockliquidity AT yuzhuchen airpollutioninvestorsentimentandstockliquidity |