Ambient particulate air pollution and daily stock market returns and volatility in 47 cities worldwide

Published: 21-04-2021| Version 1 | DOI: 10.17632/z8t3s8btxv.1
Simo-Pekka Kiihamäki,
Marko Korhonen,
Jouni Jaakkola


Major stock index data collected from After identifying the coordinate points for all the corresponding stock exchanges, air pollution and meteorological data was collected from as near as possible. All meteorological data was downloaded from the NOAA GSOD database, and air pollution data was collected from various sources that are described more accurately in the metadata file. Sufficient daily data for fine particulate matter concentrations were found for 47 of the locations. The meteorological variables contained a rather large amount of randomly missing observations which were imputed using CART (Classification and Regression Training) method from MICE package for R. Variables in masterdata: log_ret - logarithmic daily returns pm25 - daily PM2.5 concentration in ug/m3 lag1_ret - 1 day lagged returns lag2_ret - 2 day lagged returns temp_bins - temperature as 2.5C wide dummy bins dewp_bins - dew point as 2.5C wide dummy bins RH - relative humidity DEWP - dew point TEMP - temperature (C) SLP - sea level pressure VISIB - visibility WDSP - wind speed PRCP - precipitation woy - week of year dow - day of week vixopen - daily VIX index value date - date city - name of the city