【作者】 梁爽；

【导师】 于刚； 药利晨；

【作者基本信息】 东北财经大学 ， 金融硕士（MF）（专业学位）， 2024， 硕士

【摘要】 在当今社会发展的进程中,空气污染已经成为威胁可持续发展的一个主要因素,引起了社会各界的广泛关注。人们逐渐意识到,糟糕的空气质量不仅会对健康造成危害,还会直接影响情绪和生活质量。在这种情况下,空气污染势必会与投资者情绪之间存在密切的关联。投资者情绪,作为股票市场的重要驱动力之一,对市场波动产生着不可忽视的影响。以此为出发点,通过主成分分析方法构建复合投资者情绪指标,探讨空气质量与投资者情绪之间的关系,并进一步研究其对股票市场波动的影响。首先,所构建的复合投资者情绪指标包括空气质量指数在内的八个情绪代理变量,通过主成分分析将它们综合起来,构建了一个全面反映投资者情绪的指标。通过对大量数据的分析,空气质量在一定程度上能够影响投资者情绪,即空气质量的恶化与投资者情绪下降呈正相关关系。换言之,当空气质量变差时,投资者的情绪也会受到负面影响,导致市场情绪整体下滑,进而这会体现在投资者情绪与股票市场波动之间的关系上。之后,通过时间序列分析方法深入挖掘了二者之间的内在联系,研究结果显示,当投资者情绪处于较好状态时,股票市场的波动率相对较低;而当投资者情绪低落时,市场波动率则相对较高。这一发现不仅印证了投资者情绪对市场波动的影响,也为我们理解市场行为提供了新的视角。此外,为了验证研究结论的稳健性,选取了2020年新冠肺炎爆发前的时期通过缩小样本区间进行稳健性检验,并且添加了收益率这一额外变量进行时间序列回归分析。这两种稳健性检验的方法均验证了投资者情绪与股票市场波动率之间都存在着负相关性。值得注意的是,在2020年前,投资者情绪同股票市场的波动率的负相关关系更强。综上所述,这一结果不仅从新的角度揭示了环境因素对金融市场的影响,也为投资者和政策制定者提供了有益的参考,并且也希望能够引起更多人对环境问题与金融市场之间关系的重视,为实现可持续发展提供更加坚实的理论基础和实践指导。而且,政府和股票市场参与者可以通过这一结果促进未来的可持续发展并且提高整个金融市场的效率。更多还原

【Abstract】 In current process of social development,air pollution has become a major factor threatening sustainable development and has aroused widespread concern in all sectors of modern society.People are gradually realising that poor air quality not only poses a health hazard,but also has a direct impact on mood and quality of life.In this context,there is bound to be a close correlation between air pollution and investor sentiment.Investor sentiment,as one of the key drivers of the stock market,has an undeniable impact on market volatility.Taking this as a starting point,a composite investor sentiment indicator is constructed through principal component analysis to explore the relationship between air quality and investor sentiment,and further investigate its impact on stock market volatility.The constructed composite investor sentiment indicator includes eight sentiment proxies including the air quality index,and they are combined through principal component analysis to construct a comprehensive indicator reflecting investor sentiment.By analysing a large amount of data,air quality can affect investor sentiment to a certain extent.The deterioration of air quality is positively correlated with the decline of investor sentiment.In other words,when air quality deteriorates,investor sentiment is also negatively affected,leading to an overall decline in market sentiment.And it will represent on the relationship between investor sentiment and stock market volatility.Through the time-series analysis method,researching deeper into the intrinsic connection between the two,the findings show that when investor sentiment is in a better state,the volatility of the stock market is relatively low;while when investor sentiment is low,the market volatility is relatively high.This finding not only confirms the impact of investor sentiment on market volatility,but also provides a new perspective for understanding market behaviour.In order to verify the robustness of the research conclusions,the period before the outbreak of COVID-19 in 2020 was selected for robustness testing by narrowing the sample interval,and the additional variable of yield was added for time series regression analysis.Both robustness testing methods have verified that there is a negative correlation between investor sentiment and stock market volatility.It is worth noting that before 2020,investor sentiment had a stronger negative correlation with stock market volatility.In summary,it not only reveals the impact of environmental factors on financial markets from a new perspective,but also provides useful references for investors and policy makers.It is expected that this can draw more attention to the relationship between environmental issues and financial markets,and provide a more solid theoretical foundation and practical guidance for the realisation of sustainable development.Furthermore,governments and stock market participants can use this outcome to promote future sustainable development and improve overall financial market efficiency.更多还原