通过稀疏PCA分析新冠疫情对股市的影响

Impact of COVID-19 pandemic on stock market via sparse principal component analysis

新冠疫情的爆发在全世界造成了严重的公共卫生和经济后果。评估新冠疫情对经济,尤其是股市的影响非常重要。为此,我们提出应用几种最先进的稀疏主成分分析(PCA)方法来分析2019年2月1日至2021年2月1日的沪深300指数股票数据,以揭示新冠疫情爆发的影响.将这段时间分为两个时期——2020年1月1日之前和之后,在此基础上,我们尝试提取主成分并构建投资组合.结果表明,在新冠疫情爆发之后,代表市场的主成分的比例有所下降.关于前两个主成分的构成,新冠疫情爆发后,起决定作用的股票集合有很大的不同.在新冠疫情之后,医疗保健行业的股票开始在沪深300指数的投资组合中发挥重要作用.与沪深300指数相比,稀疏PCA方法的前两个主成分可以在组成投资组合的股票集数量少得多的情况下获得更高的回报.综上所述,新冠疫情的爆发导致沪深300指数股票的主成分比例和构成发生了变化.

The COVID-19 pandemic has caused severe public health and economic consequences around the world.It is of great importance to evaluate the impact of the COVID-19 pandemic on the economy,especially the stock market.To this end,we proposed to use several state-of-art sparse principal component analysis(PCA)methods for the stock data of the CSI 300 index from February 1,2019 to February 1,2021.To show the influence of the outbreak of the COVID-19 pandemic,we divide this period into two periods,i.e.,before and after January 1,2020.Based on this division,we attempted to extract the principal components and construct portfolio accordingly.The results show that the proportion of principal components representing the market declined after the outbreak.For the constitution in the first two principal components,the important stock sets are substantially different after the outbreak.The stocks from the health care sector start to play an important role in the portfolio of the CSI 300 index after the outbreak.Compared with the CSI 300 index,the first two principal components from the sparse PCA methods can obtain higher returns with a much smaller set of stocks in the portfolio.In conclusion,the outbreak of the COVID-19 pandemic led to changes in both proportion and constitution of the principal component of the stocks in the CSI 300 index.