新冠肺炎疫情对中国股市有影响吗?

IF 1 4区 环境科学与生态学 Q4 ENVIRONMENTAL STUDIES
J. Ashraf, F. Gnahe, Fei Huang, Zeinab Rizk
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引用次数: 2

摘要

本研究旨在研究2019年12月2日至2021年1月4日期间新冠肺炎疫情对中国货币和股票市场的影响。广义自回归条件均方差方法捕获有关指数回报的最常见的风格化事实(例如捕获上海和深圳证券交易所的多变量)。我们的发现显示了深圳证券交易所(SSE)和上海证券交易所(SZSE)指数的爆炸性过程和风险溢价。新冠肺炎期间,人民币贬值0.46%的标准差使股市平均回报率提高了81%。这些结果解释了在样本期内中国股票市场指数收益的高波动性。根据分析结果,可以得出新病例数和最近死亡人数对股票市场有显著影响,造成可持续性的不确定性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Do the Outbreak of COVID-19 Influence the China Stock Market?
This study aims at the impact outbreak of COVID-19 influence Chinese currency and stock market over the period December 2, 2019, to January 04, 2021. The Generalized Autoregressive Conditional Homoscedastic approach captures the most common stylized fact about index returns (such as multivariate to capture the Shanghai and Shenzhen stock exchange). Our finding shows the explosive process and risk premium for the Shenzhen stock exchange (SSE) and Shanghai stock exchange (SZSE) index. And the standard deviation depreciation of the Chinese currency during the COVID-19 equivalent to 0.46% improved stock market return by 81% average returns. These results explain that high volatility of index returns is present in the Chinese stock market over the sample period. According to the analysis results, it can be concluded that the number of new cases and the number of recent deaths have a significant effect on the stock market, causing uncertainty in the sustainability.
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来源期刊
Problemy Ekorozwoju
Problemy Ekorozwoju ENVIRONMENTAL STUDIES-
CiteScore
2.50
自引率
18.20%
发文量
55
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