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重大突发公共卫生事件对新兴经济体跨境股票资本流动的影响 被引量:1

The Impact of Major Public Heath Emergencies on Cross-border Equity Flows for Emerging Market Economies
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摘要 重大突发公共卫生事件对各国经济和金融市场产生重大冲击,其是否以及如何对跨境资本流动产生影响,文献尚未进行充分研究。本文基于新冠病毒感染疫情数据和EPFR跨境股票基金层面微观数据,实证分析重大突发公共卫生事件对新兴经济体跨境股票资本流动的影响及传导渠道。本文发现,新冠病毒感染疫情通过三种效应对新兴经济体跨境股票资本流入产生负向影响。第一,内部拉动效应。新兴经济体国内新冠病毒感染疫情程度加重,提高投资者对该国的风险情绪,显著降低了本国跨境股票型基金净资本流入。第二,关联国传染效应。新兴经济体的贸易和金融联系国疫情风险暴露水平上升,显著加剧新冠病毒感染疫情的影响。第三,全球性推动效应。美国新冠病毒感染疫情的暴发、全球风险情绪的加剧和美国股票市场波动性的上升等会进一步抑制新兴经济体的跨境股票型基金净资本流入。进一步研究发现,新冠病毒感染疫情的影响因各国经济特征和股票基金特征而具有异质性。本文为重大公共卫生事件是否以及如何传导到跨境金融活动提供了实证依据,也为金融部门如何防范和应对重大公共卫生事件风险提供了政策建议。 The major public health emergencies have major impacts on the economies and financial markets,while whether and how they affects cross-border capital flows of emerging market economies(EMEs)have not been well explored.Based on the COVID-19 data and micro-level data of cross-border equity funds from EPFR,this paper empirically investigates the influence and mechanisms of major public heath emergencies on equity flows to EMEs.We find that the increase in domestic cases of COVID-19 in EMEs will reduce their net capital inflows through three effects.The increase of the COVID-19 cases has increased investors risk sentiment and significantly reduced the net inflow of cross-border equity funds.The rising exposure levels of pandemic risk in trading and financial linkage countries have significantly exacerbated the impact of the pandemic.The outbreak of COVID-19 in the US,the increase in global risk sentiment and rising volatility in the US equity market will further dampen cross-border equity-fund inflows to EMEs.Further analysis shows that the impact of COVID-19 is heterogeneous according to the economic and fund level characteristics.This paper provides empirical evidence for whether and how major public health emergencies are transmitted to cross-border financial activities,and also provides policy recommendations on how the financial sector can prepare for and respond to the risk of major public health emergencies.
作者 苟琴 李兴申 GOU Qin;LI Xing-shen
出处 《中央财经大学学报》 北大核心 2023年第12期62-75,共14页 Journal of Central University of Finance & Economics
基金 国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(项目编号:20&ZD101) 国家自然科学基金面上项目“全球金融网络视角下跨境资本流动管理与金融风险防范”(项目编号:72073150) 首都经济贸易大学新入职青年教师科研启动基金项目(项目编号:XRZ2023060)。
关键词 重大突发公共卫生事件 跨境资本流动 股票型基金 Major public heath emergency Cross-border capital flow Equity fund
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