新冠肺炎疫情对我国企业的异质性影响——基于股价波动视角的实证研究

The Heterogeneous Impact of COVID-19 on Chinese Enterprises——Empirical Research Based on the Perspective of Stock Price Fluctuations

新冠肺炎疫情威胁人类健康、造成情绪恐慌的同时,作为系统性外部冲击也限制了经济增长和企业发展,而股票市场的剧烈震荡正是投资者情绪波动和实体经济基本面变化的集中体现。本文利用事件分析法实证检验了疫情发生对我国股票市场的冲击效应,并根据不同指标(财务指标、类型指标、地域指标)分析了企业面对疫情冲击的异质性表现。结果显示疫情期间整体市场收益率显著下降而波动率显著上升,但动态分析显示收益率呈现震荡式变化而波动率呈现持续式升高态势。不同企业面临相同冲击时表现差异显著,如相对来说资产规模较小、非国有、外贸类、非武汉地区等的企业的股票收益率下降幅度更大。异质性分析结果为后疫情时期针对性帮扶工作具有政策启示。

COVID-19,as a threat to human health and a cause of emotional panic,is also a systemic external shock that restricts economic growth and corporate development,and the sharp fluctuations in the stock market are a concentrated reflection of swings in investor sentiment and fundamental changes in the real economy.This paper empirically tests the impact of epidemic outbreak on China's stock market by using event study method,and further analyzes the heterogeneous performance of enterprises according to different indicators(financial indicators,type indicators and regional indicators).The results show that during the epidemic period,the overall market rate of return significantly decreased and volatility significantly increased,but dynamic analysis shows that the rate of return presents a volatile change and volatility presents a continuous rise.When different enterprises are faced with the same epidemic,their performances are significantly different.For example,enterprises with small assets,non-state-owned enterprises,foreign trade enterprises,and non-Wuhan-area enterprises have their stock returns decline more dramatically.The results of heterogeneity analysis have policy implications for targeted assistance in the post-epidemic period.