摘要
中美贸易摩擦爆发对中国金融市场产生了严重的影响,导致股票市场大幅波动。本文通过事件分析法研究了贸易摩擦正向事件和负向事件对中国股票市场不同行业异常收益率和累计异常收益率的影响。同时,通过CAPM模型和GARCH模型分析贸易摩擦事件对行业系统性风险的短期和长期影响。本文研究结果显示:第一,负向贸易摩擦事件导致除农、林、牧、渔业之外的其他行业产生了显著的负异常收益率;第二,贸易摩擦对各行业累计异常收益率的影响时间较短;第三,负向贸易摩擦事件增加了除农、林、牧、渔业之外大多数行业的短期系统性风险;第四,大多数行业的长期系统性风险不受贸易摩擦事件的负面影响。
China US trade tensions has brought a huge impact on the trade-related industries,and China’s stock market has experienced a sharp decline.The purpose of this paper is to examine how the excess returns and systematic risks of China’s stock market change after the trade friction events.This paper selects 16 key nodes of the changing situation of the trade tensions as trade tensions events,and then divides the events into positive and negative events.This paper employs event study analysis to study the trade tensions impacts on the abnormal returns of the stocks.Moreover,the paper also measures the systematic risks of the stock market through CAPM model,and examines the changes of systematic risks after the events.The main results of this paper are as followed.The trade tensions events have a significant impact on the abnormal returns of China’s stock market.Negative trade tensions events lead to negative abnormal returns in most industries except agriculture,forestry,animal husbandry and fishery,but the impact time is short.When the trade situation improves,positive abnormal returns are generated in some sectors.This paper further proves that negative trade tensions events increase the short-term systematic risks in most sectors except agriculture,forestry,animal husbandry and fishery,while the long-term systematic risks in most sectors are not negatively affected.This paper makes the following contributions.It divides the China US trade tensions events into positive events and negative events,and sheds light on how different sectors react to the different trade tensions events in terms of their returns in China’s stock markets.Moreover,this research also considers the short-term and long-term changes of systematic risks in different sectors.It provides a new perspective to understand the impact of the trade tensions on China’s stock market.
作者
朱民
徐钟祥
Zhu Min;Xu Zhongxiang(National Institute of Financial Research,Tsinghua University;PBC School of Finance,Tsinghua University)
出处
《国际金融研究》
CSSCI
北大核心
2021年第4期3-12,共10页
Studies of International Finance
基金
中国博士后科学基金面上项目(2018M641305)
国家社会科学基金青年项目“金融周期、资源错配形势下我国财政与货币政策的关系研究”(19CJL012)资助
