证券市场“黑天鹅”事件及其冲击——基于“毒胶囊”事件的实证分析

"Black Swan" Events in the Stock Market and Their Shocks:A Case Study Based on "Poisonous Capsule" Event

2008年以来,我国相继发生了"三聚氰胺毒奶粉"、"瘦肉精"、"毒胶囊"等食品药品安全事件,这类"黑天鹅"事件给A股市场食品药品行业及其相关企业带来了巨大冲击和后果,同时也给证券市场投资者带来不可预知的投资风险。本文以我国A股制药类上市公司为样本,利用事件研究法探究了2012年"毒胶囊"事件对我国A股制药行业股票收益率的冲击。通过分别对A股制药行业和制药类个股的实证研究发现:(1)"毒胶囊"事件对A股制药行业冲击十分显著,对生产胶囊制剂的企业和不生产胶囊制剂的企业的冲击有所不同,但都对"毒胶囊"事件冲击的反应滞后;(2)不同制药类个股对"毒胶囊"事件冲击的正负效应、波动幅度及敏感性等反应不同。这些研究结论对投资者未来应对这类"黑天鹅"事件和优化证券投资组合策略有参考价值。

Since 2008, China has witnessed successively＇ many food and ＂melamine milk＂, ＂lean meat powder＂, ＂poisonous capsules＂, this kind of drug safety events, such as ＂black swan＂ incident brings huge impact and consequences to the food and drug industry and its listing corporation of the A - share market, as well as to bring unpredictaLlc investment risk to the investors. Based on the A shares of pharmaceutical list- ing corporations, using the event study method, this paper explores the impact of ＂poisonous capsule＂ event on the A shares of pharmaceutical industry, which＇s exposed on April 15, 2012. According to A shares of the pharmaceutical industry and the pharmaceutical stocks, the empirical findings ： （ 1 ） The impact of ＂poisonous capsule＂ event on the A shares of the pharmaceutical industry is very significant, and it is different of the im- pact on whether the corporations produce capsule, but the reaction to ＂poisonous capsule＂ incident lags; （2） Different pharmaceutical stocks react differently to the incident, such as the positive and negative effects, vola- tility and sensitivity. These conclusions are helpful for the investors to deal with the kind of ＂black swan＂ e- vent and to optimize the securities portfolio strategy.