PM2.5, Investor Sentiment, and Stock Returns

Huang, Xiaobei

doi:10.12783/dtetr/icaenm2017/7801

Cited by 2 publications

(3 citation statements)

References 4 publications

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“…It was found that AQI is negatively associated with stock returns, and this relation was stronger when the trader was investing more polluted areas. Taking off from the findings of this study, many studies have emerged from China which is fighting extreme effects of pollution like haze pollution and high levels of PM 2.5 in its cities [13][14]. These studies in China have found that trading volumes were affecting by air quality in short term, thus providing the link between investor mood and stock performance.…”

Section: Literature Surveymentioning

confidence: 72%

Is Deteriorating Air Quality Impacting Stock Performance in India? Air Quality Index Predicts Stock Performance

Reddy¹

2020

IJST

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Background/objectives: This study attempts to examine a systematic relationship between air quality index (AQI) and the performance of stock markets in India. India has ranked among the bottom five countries in environmental performance index (EPI) by World Economic Forum (WEF). Previous studies in this field conducted in other parts of the world indicate a direct relation between environmental performance and market performance; however, the case of India may prove to be different considering the Indian environmental policy, environmental accountability, population, and income and development aspects. Methods: We have employed linear regression technique to ascertain the impact of AQI on stock returns. AQI data from 13 stations across India are the dependent variables. These dependent variables are each regressed individually for each stock market index from Bombay Stock Exchange (BSE) equity index, Sensex. Therefore, there are 17 models where AQI from the chosen 13 stations has been regressed with each of the industry specific index. A descriptive analysis is also performed to know the yearly averages of the AQI across stations used in the study. Findings: Our results confirm that there exists a negative association between AQI and stock returns for top-performing growth stocks. The results also indicate that there is a positive association between AQI and capital intensive industry stocks, while a negative association was observed in the case of labor-intensive industries. The findings indicate that AQI is a predictor for stock returns in India in the short term. Application: Environmental influences on stock market performance are becoming more potent than ever before as the negative externalities of pollution impact the financial performance of corporations.

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Section: Literature Surveymentioning

confidence: 72%

Is Deteriorating Air Quality Impacting Stock Performance in India? Air Quality Index Predicts Stock Performance

Reddy¹

2020

IJST

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“…However, for the same market, Hao (2020) found a non-significant relationship. Huang (2017) applied the emotion recognition theory to relate investors' PM2.5-induced emotions to investor sentiment, which eventually led to negative stock returns. Huang (2017) found that for China, the effects were negative for heavily polluting firms.…”

Section: Introductionmentioning

confidence: 99%

“…Huang (2017) applied the emotion recognition theory to relate investors' PM2.5-induced emotions to investor sentiment, which eventually led to negative stock returns. Huang (2017) found that for China, the effects were negative for heavily polluting firms. Environmentally friendly firms exhibited a positive relationship.…”

Section: Introductionmentioning

confidence: 99%

A Multivariate Mediation Analysis of PM2.5 Pollution and Stock Market Returns

Khanthavit

2024

ABAC J

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Particulate matter 2.5 (PM2.5) is considered the most dangerous air-polluting particle, causing premature death and inducing severe mental and physical diseases worldwide. PM2.5 affects stock market returns directly via the fundamental channel and indirectly via the behavioral channel. This study examines the effects of Bangkok’s PM2.5 pollution on the return on the Market for Alternative Investment index portfolio using a multivariate mediation analysis. Attention, awareness, mood, sentiment, and stress, the mediating variables known to influence investors’ behavior, were considered jointly and explicitly in the model. This study is the first to introduce stress as a behavioral mediator. The roles and effects of the behavioral mediators were identified, measured, and compared. Using daily data from August 1, 2016, to November 30, 2023, this study found that the total, direct, and indirect effects were not significant. Stress was the only behavioral mediator that significantly and positively contributed to the indirect effects. This result remains unchanged for different estimation techniques, sample periods, representative stock returns, and PM2.5 occurrence times.

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PM2.5, Investor Sentiment, and Stock Returns

Cited by 2 publications

References 4 publications

Is Deteriorating Air Quality Impacting Stock Performance in India? Air Quality Index Predicts Stock Performance

Is Deteriorating Air Quality Impacting Stock Performance in India? Air Quality Index Predicts Stock Performance

A Multivariate Mediation Analysis of PM2.5 Pollution and Stock Market Returns

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