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Stock Market Response To Meteorological Disaster Risk: From Liquidity Perspective

Author

Listed:
  • JIE WU

    (Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, P. R. China2University of Chinese Academy of Sciences, Beijing 100049, P. R. China)

  • YUNONG WANG

    (School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, P. R. China4Research Center on Fictitious Economy and Data Science, Chinese Academy of Sciences, Beijing 100190, P. R. China5Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190, P. R. China)

  • XIAOGUANG YANG

    (Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, P. R. China2University of Chinese Academy of Sciences, Beijing 100049, P. R. China)

Abstract

This study investigates the impact of meteorological disaster risk perception on stock liquidity of Chinese listed companies by constructing meteorological disaster risk perception indicators through the Baidu index. Empirical evidence reveals that an increase in meteorological disaster risk perception decreases investors’ risk appetite and increases investors’ loss aversion, which in turn negatively affects stock liquidity. In addition, the increase in meteorological disaster risk perception also shrinks stock trading volume by reducing investor sentiment. The negative effect of meteorological disaster risk perception on stock liquidity is more pronounced in summer and winter and for firms located in water-rich areas. The findings of this study provide empirical evidence from investors’ perspective for understanding the impact of meteorological disasters on stock market liquidity.

Suggested Citation

  • Jie Wu & Yunong Wang & Xiaoguang Yang, 2024. "Stock Market Response To Meteorological Disaster Risk: From Liquidity Perspective," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-28, November.
    • Handle: RePEc:wsi:ccexxx:v:15:y:2024:i:04:n:s2010007824400074
    DOI: 10.1142/S2010007824400074
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