论文标题
Covid-19对中国股市崩溃风险的影响
The impact of COVID-19 on the stock market crash risk in China
论文作者
论文摘要
这项研究调查了199日大流行对中国股市崩溃风险的影响。为此，我们首先估计了带有偏斜型（Garch-S）型号的Garch分配的有条件偏度，这是上海证券交易所的股票市场崩溃风险的代理。然后，我们使用BAIDU指数的数据为COVID-19构建了恐惧指数。根据发现的结果，有条件的偏度对总确认病例的每日增长产生了负面反应，这表明大流行会增加股票市场崩溃的风险。此外，恐惧情绪加剧了这种风险，尤其是在Covid-19的影响方面。换句话说，当恐惧情绪很高时，股市崩溃风险会受到大流行的强烈影响。我们的证据对于每日死亡和全球案件的数量是有力的。
This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange. We then constructed a fear index for COVID-19 using data from the Baidu Index. Based on the findings, conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the pandemic increases stock market crash risk. Moreover, the fear sentiment exacerbates such risk, especially with regard to the impact of COVID-19. In other words, when the fear sentiment is high, the stock market crash risk is more strongly affected by the pandemic. Our evidence is robust for the number of daily deaths and global cases.
