数字人民币研发测试对股票市场波动的影响研究

The Impact of R&D and Test of E-CNY on Stock Market Volatility

以105家A股上市公司为样本,运用事件研究法量化分析了数字人民币试点测试以来的分类别、分阶段事件对股价波动的影响。研究发现:(1)数字人民币事件通过释放正向信号,会使上市公司股票产生超额收益,但总体事件的正向影响效应仅在三天以内的短窗口期显著;(2)按事件主体划分类别之后,整体公告类事件造成的股价异常波动要显著高于地方操作类事件,且影响周期更长;(3)以试点公开测试为节点划分阶段后,整体公告类事件在后一阶段对股价波动的影响更加显著,且效果呈递增趋势。稳健性检验与基准估计结果一致,并进一步反映出数字人民币事件对不同类样本公司和在不同市场区间下的影响强度。在此基础上,从分类总结试点测试经验、打造市场化数字人民币生态体系和加强政策研究与评估等方面提出了对策建议。

Taking 105 A-share listed companies as samples,this paper uses the event study method to quantitatively analyze the impact of the E-CNY on stock price volatility by classification and stages of events related to its development since the specific pilot test.The findings are as follows:(1)the events related to the development of E-CNY lead to the excess returns of the stocks of listed companies by releasing positive signals,but the positive effect of all events is significant only within a short window period of three days;(2)after classification by subject,the abnormal stock price fluctuations caused by public announcement events are significantly higher than those caused by operation events,and the influence period is longer;(3)after divided into two stages with public testing as nodes,public announcement events have a more significant impact on stock price volatility in the latter stage and the effect shows an increasing trend.The robustness test is consistent with the baseline estimation results,and further reflects the intensity of the impact of the E-CNY event on different sample companies and in different market segments.On this basis,this paper puts forward some suggestions from the aspects of summarizing the experience of the pilot test,building the marketized E-CNY ecosystem and strengthening the research and evaluation of the policies.