新冠肺炎疫情对全球股市风险的影响研究——基于ESA方法的跨市场检验

Research on the Impact of COVID-19 on the Risks of Global Stock Market——Cross Market Test Based on ESA Method

随着新冠肺炎疫情在世界各地不断蔓延,实体经济遭受到了20世纪初大萧条以来最严重的冲击,金融市场也遭受到史无前例的重大影响。本文采用事件分析法,研究了新冠肺炎疫情对中、美、欧股市的影响。结果显示,新冠肺炎疫情对中、美、欧股市风险造成了显著的正向冲击,导致风险水平显著上升。在同一时间窗口下,境内发生的新冠肺炎疫情对股票市场的影响大于对境外市场的影响,首次冲击对股票市场的影响大于二次冲击,且其影响程度与时间窗口的长度相关。随着时间窗口的延长,疫情冲击的影响逐渐减弱。同时,疫情对风险的跨市场传染强度存在差异,对美欧之间的影响最大,对中美之间的影响次之,对中欧之间的影响最小。进一步研究还发现,在疫情的冲击下,欧美股市之间存在风险共担效应,其风险随着对中国股市溢出效应的增加而进一步放大。

Covid-19 is a major emergency public health event.For the stock market,a major emergency is a negative external impact,which is one of the main reasons for the increase of financial risk.This paper uses event analysis to study the impact of the COVID-19 on the stock markets in China,the United States and Europe.The results show that COVID-19 has a significant negative impact on the stock market,leading to an increase in risk level.Within the same time window,the impact of COVID-19 on the domestic securities market is greater than the overseas market,but the first impact is greater than the second impact.With the extension of the time window,the impact of COVID-19 gradually weakens.At the same time,there are differences in the cross-market contagion intensity regarding the impact of COVID-19 on risk level,with the United States and Europe witnessing the greatest influence.Further research also finds that with the impact of COVID-19,there is a risk-sharing effect between European and American stock markets,but their risks are further amplified with the increase of the spillover effect on China’s stock market.This paper makes contributions to the literature as follows.Firstly,it uses event analysis method to extract the new influence of COVID-19 in a more rigorous way on many factors that affect the stock market and quantify the impact of COVID-19 on the stock market risk as well as the spillover effect across the market.Secondly,considering the time window for the domestic and overseas outbreak of COVID-19,the paper analyzes the impact of COVID-19 on the stock market risks in China,the United States,and Europe,and examines the cross-market spillover effect of COVID-19 on stock market risks.Thirdly,the paper analyzes the impact of the first and second shocks of COVID-19 on the stock market differently under the same time window.Fourthly,the paper further analyzes the type of risk spillover effect on the stock markets in China,the United States and Europe.