摘要
本文利用面板数据固定效应模型研究2020年新冠肺炎疫情对沪深股票回报的影响。实证数据显示,确诊病例增长率与股票回报呈倒U型关系,死亡病例增长率与股票回报呈U型关系。进一步研究发现,公司规模越小、财务杠杆水平越高,疫情对股票回报的负面影响越严重;同时,位于疫情严重省份的上市公司的股价受疫情的影响更大。此外,不同行业和不同类型股票市场受到的影响也存在差异。以上结果说明新冠肺炎疫情对公司的股价存在负面影响,而且投资者能够理性地区分不同公司所受的影响。
This paper studies the effects of 2020 COVID-19 epidemic on the stock return in Shanghai and Shenzhen stock markets with the panel data fixed effect model.The empirical results show that,stock return’s relationship with the growth rate of confirmed cases is inverted U-shaped,while its relationship with the growth rate of death is U-shaped.Further findings show that,the epidemic’s effects are worse for companies with smaller size and higher leverage ratio,and the effects are stronger for listed companies in severely influenced provinces.Besides,the effects vary among stock markets in different industries and of different types.It is concluded that COVID-19 epidemic has negative effects on the stock price and investors could rationally recognize the different effects on different companies.
作者
陈林
曲晓辉
CHEN Lin;QU Xiao-hui
出处
《金融论坛》
CSSCI
北大核心
2020年第7期25-33,65,共10页
Finance Forum
基金
教育部人文社会科学重点研究基地重大项目“会计计量模式、报告模式与企业综合报告”(16JJD790035)
深圳市人文社会科学重点研究基地项目“基于大数据的创业企业盈余管理行为监测研究”(KP002020)。
