基于网络搜索数据的突发事件对股票市场影响分析

A Study of Emergency on Stock Market Based on Web Search Data Evidence from Yongwen Railway Accident

重大突发事件的发生对关联企业生产、行业前景,甚至国家宏观经济产生一定影响,表现为关联企业股价波动,而网络搜索数据作为投资者现实生活行为趋势的映射,蕴含了投资者对突发事件、股票需求与交易的关注,基于该思想,采用基于网络搜索数据的方法对重大突发事件与股票市场间的相关性进行研究.首先建立理论框架;然后以"7·23甬温线特别重大铁路交通事故"为研究对象,分析动车事故对中国动车概念版股市的影响强度.最终,模型拟合优度高达0.888,表明搜索数据可以准确、及时刻画动车事故对相关板块股市波动的影响.

It is apparent that most of emergencies result in serious losses of related enter- prises, industry outlook, as well as national macroeconomic, which would be reflected as price fluctuation of enterprises＇ stock. With the development of technology, search engine has be- come a kin of popular information source for people to obtain various information. The web search data would reflects the trends of investors＇ behavior and contains hundreds of millions of searchers＇ concerns and interests on the emergencies and the demand for stocks trading. Therefore, we propose the idea of applying web search data to study the fluctuation of stock market caused by major emergencies. Firstly, a systematic theoretical framework has been built to reveal the correlation between web search and major emergency. Secondly, at the theoretical framework＇ basis, this paper analyzes the impact strength and impact period on stock market brought by major emergency through using web search data. Furthermore, we conduct an empirical study on 723 YongWen Railway Accident to verify the relationship. The results show that goodness of fit reaches 0.888 by adding the web search index variable into the model, and confirm web search data would accurately and timely characterize the impact of the railway accident on the stock market fluctuation. Finally, based on GARCH model, we study the impact period of railway accident on the stock market, which is about two months.