新冠疫情对中国股票市场的影响——基于事件研究法的研究

The Impact of COVID-19 on China’s Stock Market——Based on Event Study

本文运用事件研究法实证研究新冠疫情对中国股市的影响,并与非典和H7N9禽流感进行对比。研究发现:新冠疫情对股市造成显著负向冲击且呈W型趋势,对主板市场影响最大;除医药行业外,其他行业均受疫情负向影响;三次疫情对股市的负向冲击均呈短期性,一般在疫情公告日的第三到第八个交易日达到最大,新冠疫情的冲击最强烈,H7N9次之,非典最小;冲击持续时间上,新冠疫情为16天,非典为14天,H7N9为8天;新冠疫情影响股市的传导机制为投资者负面情绪的传染效应,导致不同地区的公司股价产生共振,造成股市整体下跌。

This paper uses event study to empirically study the impact of COVID-19 on China’s stock market and compares it with SARS and H7N9 avian influenza.It is found that COVID-19 has a significant negative impact on the stock market with a W trend,and has the greatest impact on the main board market;except for the pharmaceutical industry,other industries are negatively affected by the epidemic;the negative impacts of the three epidemics on the stock market are all short-term,generally reaching the maximum on the third to eighth trading day after the announcement of the epidemic,and the impact of COVID-19 is the strongest,followed by H7N9 and SARS.In terms of impact duration,COVID-19 lasts16 days,SARS and H7N9 last 14 and 8 days respectively.The transmission mechanism of COVID-19’s impact on the stock market is the contagion effect of investors’negative sentiment,which results in the resonance of stock prices in different regions,and overall decline of the stock market.