Air quality can influence investor's decision-making and investment behavior through emotional channels and information channels, thus affecting the stock market. This paper uses the Shanghai Composite Index, National PM2.5 Index and Baidu Index data from May 14, 2014 to February 17, 2017, and analyzes the impact of air quality on the stock market and its impact. The results show that air quality can significantly affect the stock market, and seasonal disorders will exacerbate this effect. In addition, the impact of air quality on the Shanghai Composite Index is greater than the Shanghai Composite Index, indicating that the impact of air quality on specific industries is greater than the overall market, and information access will affect the direction and intensity of the impact.