新冠肺炎疫情下资本市场的冲击研究--基于股价同步性视角

Research on the Impact of Capital Markets Under COVID-19--Based on Stock Price Synchronization

本文利用新冠肺炎疫情在中国的动态扩散过程以及区域异质性,研究其资本市场功能的破坏效应与内在机理。研究发现,疫情爆发后,企业股价同步性显著提升,且相对于其他省份而言,疫情严重地区的企业股价同步性提升程度更大。进一步从企业信息中介视角进行异质性检验发现,新冠肺炎疫情提升股价同步性的实证结果主要存在于低机构投资者持股比例、低媒体报道、低分析师跟踪的样本中。此外,机制检验结果表明,新冠肺炎疫情对企业股价同步性影响主要源于投资者情绪的变化。本文研究有助于深化公共卫生事件影响微观企业行为的理论,为进一步评估新冠肺炎疫情事件的经济效应及资本市场影响具有一定的启示。

This article uses the dynamic spreading process and regional heterogeneity of the COVID-19 epidemic in China to study the destructive effect and internal mechanism of its capital market function. The study finds that after the outbreak of the COVID-19 epidemic,the synchronization of stock prices of companies have increased significantly. Compared with other provinces,the synchronicity of corporate stock prices in province with the most serious epidemic rise to a greater degree. After using the placebo test and propensity score matching methods to control endogenous problems,the results are also in line with expectations. Further,from the perspective of information intermediary and information efficiency,explore the heterogeneity of the impact of the COVID-19 epidemic on the synchronization of corporate stock prices. The results show that the empirical results that the COVID-19 epidemic increase the synchronization of stock prices mainly exist in the samples of state-owned enterprises,low institutional investors’ shareholding ratio,low media coverage,and low analyst tracking. The investigation of the mechanism also finds that the impact of COVID-19 on the synchronization of corporate stock prices mainly stems from the increase in investor sentiment. The study is helpful to deepen the theory of the impact of public health security incidents on micro-enterprises’ behavior,and has certain enlightenment for further evaluating the economic effects of the COVID-19 epidemic and the impact of capital markets.