政治风险对股市的因果效应:来自自然实验的证据

IF 1.2 4区经济学 Q3 ECONOMICS

Australian Economic Papers Pub Date : 2023-07-31 DOI:10.1111/1467-8454.12319

Zhibing Li, Jia Liu, Jie Liu, Xiaoyu Liu, Yinglun Zhu

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引用次数: 0

摘要

通过将台湾向中国大陆发射导弹的误射事件作为外生冲击，我们确定了潜在军事风险对中国 A 股市场的因果效应。我们发现，导弹误射事件确实导致涉台 A 股公司股价大幅下跌，尤其是与台湾关系较密切的公司。进一步分析表明，政治不确定性增加导致的要求回报率上升是股价下跌的主要驱动力。我们的研究结果有力地证明了股市中存在有价政治风险。

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The causal effect of political risk on the stock market: Evidence from a natural experiment

By using the misfired missile event from Taiwan to mainland China as an exogenous shock, we identify the causal effect of potential military risk on the Chinese A-share market. We find that the misfired missile event indeed causes a significant decline in the stock prices of Taiwan-related A-share firms, especially for firms that have stronger relationship with Taiwan. Further analysis shows that the increased required rate of return due to higher political uncertainty is the main driving force of the stock price decline. Our findings provide strong support for the existence of priced political risk in the stock market.

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来源期刊

Australian Economic Papers ECONOMICS-

CiteScore

3.20

自引率

5.30%

发文量

期刊介绍： Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.