This study explored the relationship between the actual level of air pollution and residents' concern about air pollution. The actual air pollution level was measured by the air quality index (AQI) reported by environmental monitoring stations, while residents' concern about air pollution was reflected by the Baidu index using the Internet search engine keywords "Shanghai air quality". On the basis of the daily data of 2068 days for the city of Shanghai in China over the period between 2 December 2013 and 31 July 2019, a vector autoregression (VAR) model was built for empirical analysis. Estimation results provided three interesting findings. (1) Local residents perceived the deprivation of air quality and expressed their concern on air pollution quickly, within the day on which the air quality index rose. (2) A decline in air quality in another major city, such as Beijing, also raised the concern of Shanghai residents about local air quality. (3) A rise in Shanghai residents' concern had a beneficial impact on air quality improvement. This study implied that people really cared much about local air quality, and it was beneficial to inform more residents about the situation of local air quality and the risks associated with air pollution.
Keywords: Baidu index; Shanghai; air pollution; air quality index; public concern.