基于事件法研究巨灾对我国上市公司的影响——以汶川8.0级地震为例

The Impact of Disasters on China Listed Companies Based on Event Study Method——A Case Study on Wenchuan M8.0 Earthquake

采用事件法分析了2008年汶川8.0级地震对四川省上市公司的影响。首先,选取建筑、电力、化工行业上市公司为样本,计算分析样本上市公司股票日平均异常收益率(AR)和累积异常收益率(CAR)的波动情况,然后对其进行检验;结果表明:地震灾害对不同行业上市公司的影响时间和程度都不尽相同,对建筑行业上市公司有正面影响,对电力行业和化工行业上市公司有较大负面影响。最后,总结分析巨灾对上市公司影响,借鉴国外经验,考虑我国巨灾风险管理国情,提出构建我国上市公司巨灾风险管理建议。

The impacts of 2008 Wenchuan M8.0 earthquake on local listed companies in Sichuan are studied by event study method.Data of local listed companies of construction utility industry,power utility industry and chemical utility industry are selected.Fluctuation of the daily average abnormal return （AR）and cumulative ab-normal return （CAR）of the sample data is computed,analyzed and tested.Results show that：impacts of the earthquake on different industries are different in time and degree.The impact on construction industry is positive and that on power industry and chemistry industry is relatively more negative.Finally,the impacts of catastrophe on listed companies are summarized and considering the catastrophe risk management situation in China,based on learning from foreign experiences,suggestions for establishing the risk management for listed companies in China are put forward.