摘要
最近几年,非常规突发事件频频发生对金融市场产生了巨大的冲击。研究非常规突发事件对金融市场的冲击有利于提高投资者的风险意识,规避非常规突发事件带来的风险。利用ARIMA模型研究了SARS事件对股票市场收益率与债券市场收益率的影响。通过建立ARIMA模型,利用该模型对SARS事件期间的股票市场收益率和债券市场收益率进行预测。预测结果发现,在SARS事件发生期间,上证指数实际值与预测值的差值大部分都为负数,而上证国债指数的实际值与预测值的差值大部分都为正数。实证结果表明,由于存在投资者的安全性转移行为,SARS事件对我国股票市场产生了负向冲击,对国债市场产生了正向的影响。
In last several years, unconventional emergencies occur frequently, which engendered a huge impact on financial markets. The study of unconventional emergencies impacting on financial markets is conducive to raise awareness of the risk of investors and avoid the risks of unconventional emergencies. This paper uses the ARIMA model to study the impact of SARS incident on the stock market return and bond market return. Through the establishment of ARIMA model, and by using the model to forecast the rate of return on the stock market and bond market during the SARS event, it is found that, during the SARS event, the difference between the actual values and predicted values of the Shanghai stock index are mostly negative, and the difference between the actual values and predicted values of Shanghai bond index are mostly positive. The empirical results show that due to security transfer behaviors of investors, SARS has had a negative impact on Chinese stock markets, and a positive impact on bond markets.
出处
《电子科技大学学报（社科版）》
2013年第6期41-46,48,共7页
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
