疫情信息、投资者决策与股票市场回报率——基于中国医药类上市公司的实证分析

Epidemic Information,Investor Decision and Stock Market Return:An Empirical Analysis Based on Chinese Pharmaceutical Listed Companies

文章以行为金融学的“凸显效应”为研究出发点,采用事件研究方法分析了新冠肺疫情的信息对投资者决策及股票市场回报率产生的影响。研究发现,在疫情信息“凸显”的情况下,投资者对医药类上市公司的市场反应并不显著;而在抗疫情信息相对“不凸显”的情况下,投资者对医药类上市公司却存在显著为正的市场反应。研究结论说明,新冠肺炎疫情信息的“凸显效应”对中国投资者来说并不显著,即投资者能够理性面对疫情影响,并具备搜集信息并做出投资决策的能力。但是,对投资者而言,收益率过高意味着更高的流动性风险,应提高科学判断信息和理性投资能力。

From the perspective of Salience Effects of behavioral finance,this paper analyzes the impact of COVID-19 epidemic information on investors’decision-making and stock market returnby way of event study.This paper finds that when the epidemic information is“prominent”,investors’market reaction to pharmaceutical listed companies is not significant;when the anti-epidemic information is“not prominent”,investors'market reaction to pharmaceutical listed companies is significantly positive.This shows that for Chinese investors,the Salience Effects of epidemic information is not significant,that is,investors can rationally face the impact of the epidemic,and have the ability to collect information and make investment decisions.However,for investors,too high rate of return means higher liquidity risk,so we should improve the ability of scientific judgment of information and rational investment.