Abstract
This paper investigates the impact of haze on China's stock markets and the intermediary role of investor attention. We propose that haze attracts investor attention through direct physical and psychological experiences of haze, haze-related news and government regulations, and thereby affects stock markets through investor attention. Using novel data collected from a leading Internet stock forum in China, our empirical analysis reveals that: (1) the aggravation of haze, increase in the amount of haze-related news, and reinforcement of regulations lead investors to pay more attention to haze-related issues; (2) the increased investor attention on haze decreases stock market returns.
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