“新冠肺炎”疫情对中国股市价格波动的短期影响

The Immediate Impact of COVID-19 on China’s Stock Price Fluctuation

“新冠肺炎”疫情的扩散不仅会影响生命健康,也会对经济造成重大冲击。综合使用面板向量自回归模型、个体固定效应模型和动态面板模型,估计2020年1月10日至3月20日期间,上市公司注册地每日新增确诊病例对深圳和上海证券交易所A股3550只股票价格波动的影响。研究发现,疫情和股价波动存在U型关系。随着每日新增确诊病例的增加,股价下跌速度先加快,遇到拐点(每日新增确诊病例达到55例)后,虽然股价仍然会下跌,但是下降速度放缓。相比其他地区,湖北疫情总是会导致股价下行。此外,疫情对股价的影响具有一定的滞后效应,但滞后效应仅持续1天。疫情带来的投资者恐惧和焦虑情绪可能会刺激投资者卖出股票,导致股市波动。因此,有必要关注疫情带来的潜在经济危害,尤其是在疫情状况严重的地区。疫情信息及时透明发布以及稳定投资者情绪的干预措施有助于缓解疫情引致的股市波动。

COVID-19 outbreak will not only affect people's life and health,but also impose a major threat on the economy.Using the Panel VAR model,individual fixed effects model and dynamic econometric model,the impact is investigated of daily increased COVID-19 cases in the corporation’s registered cities on the volatility in stock price of 3,550 A-share companies in Shenzhen and Shanghai Stock Market between January 10th and March 20th of 2020.The results show that there is an U-shaped relationship between the daily confirmed cases and the volatility in stock price.As daily confirmed cases of COVID-19 increase,the companies’stock prices decline quickly,but the decline rate begins to slow down when reaching the turning point(e.g.55 cases).Compared with other regions,the epidemic in Hubei province results in continuously declining of the stock price.In addition,the impact of COVID-19 on the stock price has a lag effect and the lag effect lasts for only one day.This result provides evidence that fear and anxiety from epidemic may encourage investors to sell stocks and so as to bring price fluctuation.Therefore,it is necessary to focus on the potential threat from COVID-19 to the economy,especially in the serious epidemic regions.Timely information release and intervention measures to stabilize investors’emotion help to ease the volatility of stock prices resulting from the epidemic.