中美贸易战对中国股市的影响——基于事件研究法的分析

The Impact of the Sino-US Trade War on China’s Stock Market:An Event-based Analysis

本文利用中美贸易战这个准自然事件,选取从中美贸易战开始至今的七个关键时间点作为时间窗口,通过事件研究法来研究正向冲击和负向冲击对中国股市的影响。实证研究表明,中美贸易战过程负向事件冲击对股市的影响比正向事件冲击对股市的影响时间更长。在负向事件冲击中,在中美两国从宣布加征关税到正式征税期间,负向事件对股市冲击的显著性逐渐下降。在正向事件冲击中,中美两国领导人第一次会晤比第二次会晤对股市造成的正面影响更大。本文为理解中美贸易战对股市的影响提供了直接证据。

The Sino-US trade war has greatly affected the stock market of China.The paper uses the quasi-natural event of the Sino-US trade war to study the impact of positive shocks and negative shocks on China’s stock market with the event-study methodology.The paper selects seven key timing from the beginning of the Sino-US trade war as time windows.The study shows that the impact of the negative-event shocks on the stock market during the Sino-US trade war is longer than that of the positive-event shocks.Among the negative-event shocks,during the announcement of the tariff increase to the official taxation of China and the United States,the significance of the impact of the negative events on the stock market gradually decreased.Among the positive-event shocks,the positive impact of the first meeting between China and US leaders is greater than the second one.The paper provides a direct evidence for the understanding of the impact of the Sino-US trade war on the stock market.