新冠疫情对全球股指的冲击影响研究

Impact of COVID-19 on Global Stock Index

本文研究全球11个主要股指在新冠疫情暴发初期的收益率与波动率及其长期记忆性变化情况。通过干预分析,研究发现多数股指收益率预期水平均受到新冠疫情的负向冲击,半数股指波动率预期水平受到疫情的正向冲击;通过长期记忆性突变检验,发现半数股指,尤其是美股的波动率在疫情暴发后出现显著的长期记忆性上升。各股指中,上证综指是唯一未出现波动明显加剧的股指,这从侧面体现出资本市场对中国本次抗疫工作的高度评价以及对中国疫情后经济快速复苏的信心。

This paper examines the changes in the yield and volatility of the 11 major stock indexes at the beginning of the outbreak of COVID-19 and changes in their long-term memory. Through intervention analysis, it is found that most of the expected levels of stock index yields are negatively impacted by COVID-19, and half the expected levels of stock index volatility are positively impacted by COVID-19. Through the long-term memory mutation test, it is found that the volatility of half the stock indexes, especially US stocks, has increased significantly after the outbreak of COVID-19. Among the stock indexes, the Shanghai composite index is the only one without obvious increase in volatility, which reflects the high evaluation of China’s anti epidemic work by the capital market and the confidence in China’s rapid economic recovery after the epidemic.