Environmental Science and Pollution Research

, Volume 26, Issue 30, pp 31422–31433 | Cite as

The asymmetric effect of air quality on cross-industries’ stock returns: evidence from China

  • Chi-Wei Su
  • Kai-Hua WangEmail author
  • Ran Tao
  • Oana-Ramona Lobonţ
Research Article


This paper offers a perspective for the link between air quality and stock returns in China through quantile Granger causality test. Compared to previous studies, the study makes the following innovations. Given the Chinese government plays an important role in economic development, its industrial policies are regarded as a new indispensable supplement of analysis framework apart from investor mood. Next, due to different reflections from cross-industries for different AQ levels, the industry heterogeneity is further considered. Also, nine industries are chosen as a sample, including environmental protection, wind power equipment, steel, photovoltaic equipment, thermal power, tourism, coal, medical service, and medical equipment. Besides, the quantile Granger causality test is robust to misspecification errors when detecting the potential dependence structure between the variables of air quality and stock returns. The empirical results show that the causal link exists in all industries, except medical service. Meanwhile, this impact presents asymmetrical features that when air quality is unhealthy, it has an influence on stock returns of the remaining eight industries. It can be explained by increasing cortisol level, more stringent environmental protection, and industrial policies. These conclusions have essential implications for market participants due to the fact that air quality generates various influences on the stock market. That is why a sustainable environmental design, strict regulatory framework, and special monitoring activities should be highly regarded in China.


Air quality Stock returns Quantile Granger causality test 



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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  • Chi-Wei Su
    • 1
  • Kai-Hua Wang
    • 1
    Email author
  • Ran Tao
    • 2
  • Oana-Ramona Lobonţ
    • 3
  1. 1.School of EconomicsQingdao UniversityQingdaoChina
  2. 2.Qingdao Municipal Center for Disease Control & PreventionQingdaoChina
  3. 3.Department of FinanceWest University of TimisoaraTimișoaraRomania

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