公共卫生危机与中美股市联动

Public Health Crisis and Co-movements between Chinese and American Stock Markets

伴随着资本市场对外开放进程的推进,中美股市之间存在怎样的联动关系?2020年初暴发的新冠肺炎疫情,有助于识别这一联动关系。将2020年上半年的疫情传导过程划分为亚、欧、美洲暴发期三阶段,分析表明,美股对中国股市存在显著的危机传染效应,且反向影响并不明显。该现象在整个样本期内具有稳健性,且亚、欧暴发期内的影响程度更为显著。而疫情之前,中美股市间并不存在任何形式的联动,这说明,公共卫生危机的暴发,催化并加剧了美股对中国股市的单向传染效应,实现了危机的跨市场传递。但随着疫情逐渐影响美国实体经济预期,以及中国经济的逐渐复苏,美股对中国股市的传染效应逐渐减弱。

China has steadily promoted the liberalization of the capital market in recent years, which enhanced the correlation between Chinese and American stock markets. The outbreak of the COVID-19 epidemic in early 2020 provides an opportunity to identify the comovements between the two markets. According to the features of the world epidemic situation, this paper divides the global epidemic period into three stages: Asian outbreak, European outbreak and American outbreak. This paper studied the situation of the three stages and discovered a one-way contagion effect of the US stocks on China’s stock market. The one-way linkage is robust during the whole epidemic period, which is more remarkable during the Asian and European phases due to the different impact of the epidemic on real economy of China and US. In contrast, before the outbreak, there existed no link between the two markets, which confirms that epidemic played a catalytic role in the one-way stock markets. It completed the cross market transmission of the crisis and increased the volatility of domestic market. While China’s epidemic situation has been basically controlled and the economy has begun to recover, the contagion effect of the US stocks on China’s stock market has gradually weakened.