Effect of air pollution on the stock yield of heavy pollution enterprises in China's key control cities

Under the background of climate change, the haze days in China have increased significantly, which seriously hinders the sustainable development of society and arouses wide attention from the public. However, the researches on the effect of air pollution on the stock yield of heavy pollution enterprise in key control cities are quite limited, This paper collects the Air Quality Index (AQI) from key control cities above prefecture level in China as well as the stock yield data of these cities' heavy pollution enterprises in December from 2014 to 2016 and through multi-discontinuities regression model, testes the effect of air pollution on the stock yield of heavy pollution enterprise. The results show that: (1) Heavy air pollution (AQI = 300) has negative influence on the stock yield. (2) There exists time effect of air pollution on stock yield. Since the year 2014, heavy air pollution has exerted significantly negative influence on the stock yield in that 2013 may be the “first year” when the Chinese society began to take air pollution seriously. This paper gives a brief discussion on the cause of it and suggests that severe air pollution should be strictly controlled. Only by facing air pollution seriously, can we eliminate air pollution with collective wisdom and concerted efforts and achieve the sustainable development of city. Being the first study to look into the effect of air pollution on stock yield in key control cities in China, this paper provides empirical reference for government supervision departments, stock investors as well as enterprises.