摘要
本文采用事件研究法分别研究了"汶川地震"对我国金融板块和四川板块的影响。本文根据"汶川地震"的特点确定了估计窗和事件窗,选择市场模型作为正常收益的估计模型,得到了各个板块在事件窗内的累积非正常收益并对其进行了显著性检验。本文研究结果表明:"汶川地震"对我国金融板块没有显著性影响;"汶川地震"对我国四川板块的影响是四川板块组合的累积非正常收益由显著为正到显著为负的变化过程。
This paper respectively studies on the impact of Wenchuan earthquake on China＇s financial sector and Sichuan sector using event study method. It chooses ＂estimation window＂and ＂event window＂based on the features of Wenchuan earthquake, and gets the cumulative abnormal returns of these sectors during the ＂event window＂choosing the market model as the normal return estimation model, and has significant test on them. The results of this study indicate that Wenehuan earthquake has no significant influence on China＇s financial sector and the impact trend of cumulative abnormal returns of Sichuan sector changes from significant positive to significant negative.
出处
《投资研究》
CSSCI
北大核心
2011年第8期51-63,共13页
Review of Investment Studies
基金
国家杰出青年科学基金(70825003)的资助
