突发事件对金融市场的影响研究
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摘要
随着人类社会的发展，突发事件频频发生。特别是进入本世纪以来，突发事件发生的频率更快，并呈现出一些新的特点，如：2001年美国发生了“9.11”恐怖袭击事件，人们感到恐慌和不安；2003年中国出现SARS病毒，并不断蔓延，对我国民众的心理产生了巨大的影响；2008年中国南方出现雨雪冰冻灾害，对我国的经济和社会造成了冲击；2008年中国发生的汶川大地震，改变了人们的人生观、价值观和消费观；2011年日本福岛核电站泄漏事件，导致人们对核电安全性的担忧，引发了人类使用核电的广泛讨论。
目前，我国正处于经济高速发展的社会转型期，人口众多和经济发展不平衡是我国面临的严峻形势，也使得整个社会利益关系错综复杂，各个利益主体之间的矛盾突出。突发事件的发生加剧了各个利益主体之间的矛盾，给整个社会带来了不安，引发经济发展的不稳定性，给我国企业的稳定发展带来了威胁。企业是整个经济的细胞，企业的稳定发展有利于经济的发展。同时，社会和经济的稳定发展给企业提供了一个良好的环境，有利于企业的发展。突发事件的发生会对经济和社会产生影响和冲击。由于金融市场是整个经济和社会的晴雨表，这些影响和冲击会迅速传导到金融市场上，进而给企业带来冲击，影响企业在股票市场的股票发行和融资，同时也会影响企业在债券市场上的债券发行和销售。因此，突发事件会影响股票市场和债券市场的发展，对股票市场和债券市场产生冲击。
由于股票市场和债券市场是我国金融市场的重要组成部分，在我国金融市场中具有特殊的地位，突发事件对我国股票市场和债券市场的冲击会影响整个金融市场的稳定。研究突发事件对我国股票市场和债券市场的影响对于稳定整个金融市场、在金融市场上进行投资的投资者和金融风险监管部门就具有重要的现实意义。本文采用计量经济分析方法，构建计量经济分析模型，实证研究突发事件对我国股票市场和债券市场的影响，分析突发事件对我国股票市场和债券市场的影响大小、动态冲击效应和动态冲击过程。
首先，建立自回归积分移动平均（ARIMA）模型研究突发事件对股票市场和债券市场收益率的影响。选取一个对我国影响深远的突发事件事件——汶川大地震，研究汶川大地震对我国股票市场和债券市场收益率的影响大小和影响程度。利用ARIMA模型对汶川大地震发生后我国股票市场和债券市场收益率数据进行追溯预测，分析汶川大地震对股票市场和债券市场的影响大小和影响程度。选取另外一个对我国经济和社会影响明显的突发事件——SARS事件进行稳健性检验。实证结果表明，本文构建的ARIMA模型的拟合效果和预测效果都比较好。预测结果分析表明，汶川大地震对股票市场产生了负向的影响，对债券市场产生了正向的影响。究其原因，主要是由于突发事件发生后，投资者会进行安全性转移行为，将投资从风险较高的股票市场转移到风险较低的债券市场。稳健性检验结果表明，SARS事件对股票市场产生了负向的影响，对债券市场产生了正向的影响，本文的实证结果具有较好的稳健性。
其次，根据突发事件影响的特点，将突发事件分为三种类型：台阶式突发事件、脉冲式突发事件和渐进变化式突发事件。采用虚拟变量刻画不同类型的突发事件，构建ARIMA-GARCH传递函数模型，研究三种类型突发事件对股票与债券市场波动性的影响。研究结果发现：（1）台阶式突发事件、脉冲式突发事件和渐进变化式突发事件对股票市场的波动性都产生了显著的负向影响，对债券市场的波动性都产生了显著的正向影响。突发事件的发生，导致了投资者在股票市场和债券市场之间进行投资转移，加剧了股票市场和债券市场的波动。（2）渐进变化式突发事件对股票市场和债券市场的冲击效应持续时间比台阶式和脉冲式突发事件更长，表明汶川大地震对股票市场和债券市场的冲击持续时间较长，造成了股票市场和债券市场的持续波动。
再次，根据突发事件的三种类型：台阶式突发事件、脉冲式突发事件和渐进变化式突发事件，利用协整检验分析突发事件背景下股票市场和债券市场之间的长期均衡关系。采用Granger因果关系检验分析突发事件背景下股票市场和债券市场之间的因果关系，寻求突发事件风险的传导路径。建立向量自回归模型（VAR），构建广义脉冲响应函数图，直观地描述不同类型的突发事件对股票与债券市场的动态冲击过程。研究结果表明，突发事件对股票市场、国债市场和企业债市场都产生了显著的影响。脉冲响应函数显示，突发事件对股票市场、国债市场和企业债市场的冲击是一个动态过程。不同类型的突发事件对股票市场、国债市场与企业债市场的动态冲击效应不同，持续时间也不同。
最后，本文研究了突发事件背景下的金融市场应急管理，提出了我国应对突发事件冲击金融市场的策略，主要包括：股票及债券市场应对突发事件的技术策略与非技术策略。
With the development of human society, the emergencies occur frequently.Especially in this century, the emergencies happen more frequently, and present somenew characteristics, such as the follow emergencies: In2001, the happen of UnitedStates "9.11" terrorist attacks made people feel about panic and anxiety; In2003, theoutbreak of SARS virus in China and spread across the country have a great influenceon people's psychology; In2008, the rain and snow freeze disaster broke out in southernChina, and it has caused adverse impact on our country's economy and society; In2008,the Wenchuan earthquake broke out in China, which changed people's outlook on life,values and attitudes; In2011, Japan's Fukushima nuclear power plant leak led people toconcern about the safety of nuclear power, and triggered a widely discussion thatwhether humans should use nuclear power.
At present, our country is in the high-speed economic development period of socialtransition. Our country is facing the serious situation such as a large population andunbalanced economic development. This also makes the whole social interestrelationship is very complicated, and leads to the contradiction between the variousstakeholders. Unconventional emergencies intensify the contradiction between thevarious stakeholders, bring instability to the whole society, cause the instability to theeconomic development, and bring threat to the steady development of China'senterprises. The enterprise is very important to the national economy, and the stabledevelopment of the enterprise is beneficial to the development of the economy. At thesame time, the stability of social and economic development provides a goodenvironment to the enterprise, and it is conducive to the development of enterprises. Theemergencies have influence and impact on economies and societies. Because of thefinancial market is a reflection of the whole economy and society, these influence andimpact would quickly transmitted to the financial markets, and impact to the enterprise,influence enterprise’s stock issuance and financing in the stock market, also affectcorporate bond issuance in the bond market and sales. Therefore, emergencies willaffect the development of the stock market and bond market.
Because the stock market and bond market is an important part of financial marketin China, they a special position in Chinese financial market. The impact of emergencies on the Chinese stock market and bond market will affect the stability of thefinancial market. It has important practical significance to research the impact ofemergencies on stock market and bond market in China, especially for the stability ofthe whole financial market, investors’ investment in the financial market and financialrisk supervision department. The author uses the Econometric analysis method,constructs econometric analysis model, does empirical researches on the impact ofemergencies on Chinese stock market and bond market, and analyzes the influencedegree, the dynamic impact effect and dynamic impact processes of emergencies onthe Chinese stock market and bond market.
First of all, the author studies the impact of emergencies on the stock market andbond market return by the Autoregressive Integrated Moving Average (ARIMA) model.The author selected a far-reaching emergency in China-the Wenchuan earthquake. Theauthor researched the influence of the size and influence degree of the Wenchuanearthquake on Chinese stock market and bond market return. The author do traceprediction to stock market and bond market return using ARIMA model, analyze theinfluence of the size and influence degree of the Wenchuan earthquake on Chinesestock market and bond market return. The author chose another emergency-SARS eventwhich obviously impact China's economic and social to do robustness test. Theempirical results show that, the fitting effect and prediction effect of ARIMA model theauthor built is both good. Prediction results show that Wenchuan earthquake has anegative impact on the stock market, and has positive influence on the bond market.The reason is mainly due to the happening of emergency which lead to investors’“flight-to-quality” behavior and transferring investment from the stock market whichhas higher risk to the bond market which has lower risk. Robustness test results showthat, SARS event has a negative impact on the stock market, and has positive influenceon the bond market. Empirical results have good robustness in this dissertation.
Secondly, based on the characteristics of emergencies’ impact, the author dividesemergency into three types: terraced emergencies, pulse emergencies and gradualchanging emergencies. Using virtual variables to describe the different types ofemergencies, the author build the ARIMA-GARCH transfer function model to study theimpact of the three types of emergencies on the volatility of stock and bond market. Theresults found that:(1) terraced emergencies, pulse emergencies and gradual-changingemergencies all have a significant negative influence on the volatility of the stock market, and have a remarkable positive influence on the Volatility of bond market. Thehappening of emergency, lead to transferring investment from the stock market whichhas higher risk to the bond market which has lower risk, contributed to the volatility ofstock market and bond market.(2) The impact of gradual changing emergencies on thestock market and bond market lasts longer than that of terraced and pulse emergencies.This indicates that the impact of Wenchuan earthquake on the stock market and bondmarket has a longer duration, which leads to the continued volatility of the stock marketand bond market.
Thirdly, The author divide emergency into three types: terraced emergencies, pulseemergencies and gradual changing emergencies. The author use Cointegration test toanalyze the long-term equilibrium relationship between stock market and bond marketunder the background of emergency. The author use Granger causality test to analyzethe causal relationship between stock market and bond market under the background ofemergencies, and seek for risk transmission path of emergency. The author build VectorAutoregressive model (VAR), construct the generalized impulse response function, andintuitively describe dynamic impact process of the different types of emergency onstock and bond markets. The results show that emergencies have a significant impact onthe stock market, Treasury bond market and enterprise bond market. Impulse responsefunction shows that the impact of emergencies on the stock market, bond market andenterprise bond market is a dynamic process. The dynamic impact effect of differenttypes of unconventional emergencies on the stock market, bond market and enterprisebond market effect is different, and the duration is different too.
Finally, the author studies countermeasures of financial market under thebackground of emergency and puts forward the policy recommendations to the impactof emergencies, mainly including: technology strategy and Non-technical strategy ofstock and bond markets respond to emergencies.
目前，我国正处于经济高速发展的社会转型期，人口众多和经济发展不平衡是我国面临的严峻形势，也使得整个社会利益关系错综复杂，各个利益主体之间的矛盾突出。突发事件的发生加剧了各个利益主体之间的矛盾，给整个社会带来了不安，引发经济发展的不稳定性，给我国企业的稳定发展带来了威胁。企业是整个经济的细胞，企业的稳定发展有利于经济的发展。同时，社会和经济的稳定发展给企业提供了一个良好的环境，有利于企业的发展。突发事件的发生会对经济和社会产生影响和冲击。由于金融市场是整个经济和社会的晴雨表，这些影响和冲击会迅速传导到金融市场上，进而给企业带来冲击，影响企业在股票市场的股票发行和融资，同时也会影响企业在债券市场上的债券发行和销售。因此，突发事件会影响股票市场和债券市场的发展，对股票市场和债券市场产生冲击。
由于股票市场和债券市场是我国金融市场的重要组成部分，在我国金融市场中具有特殊的地位，突发事件对我国股票市场和债券市场的冲击会影响整个金融市场的稳定。研究突发事件对我国股票市场和债券市场的影响对于稳定整个金融市场、在金融市场上进行投资的投资者和金融风险监管部门就具有重要的现实意义。本文采用计量经济分析方法，构建计量经济分析模型，实证研究突发事件对我国股票市场和债券市场的影响，分析突发事件对我国股票市场和债券市场的影响大小、动态冲击效应和动态冲击过程。
首先，建立自回归积分移动平均（ARIMA）模型研究突发事件对股票市场和债券市场收益率的影响。选取一个对我国影响深远的突发事件事件——汶川大地震，研究汶川大地震对我国股票市场和债券市场收益率的影响大小和影响程度。利用ARIMA模型对汶川大地震发生后我国股票市场和债券市场收益率数据进行追溯预测，分析汶川大地震对股票市场和债券市场的影响大小和影响程度。选取另外一个对我国经济和社会影响明显的突发事件——SARS事件进行稳健性检验。实证结果表明，本文构建的ARIMA模型的拟合效果和预测效果都比较好。预测结果分析表明，汶川大地震对股票市场产生了负向的影响，对债券市场产生了正向的影响。究其原因，主要是由于突发事件发生后，投资者会进行安全性转移行为，将投资从风险较高的股票市场转移到风险较低的债券市场。稳健性检验结果表明，SARS事件对股票市场产生了负向的影响，对债券市场产生了正向的影响，本文的实证结果具有较好的稳健性。
其次，根据突发事件影响的特点，将突发事件分为三种类型：台阶式突发事件、脉冲式突发事件和渐进变化式突发事件。采用虚拟变量刻画不同类型的突发事件，构建ARIMA-GARCH传递函数模型，研究三种类型突发事件对股票与债券市场波动性的影响。研究结果发现：（1）台阶式突发事件、脉冲式突发事件和渐进变化式突发事件对股票市场的波动性都产生了显著的负向影响，对债券市场的波动性都产生了显著的正向影响。突发事件的发生，导致了投资者在股票市场和债券市场之间进行投资转移，加剧了股票市场和债券市场的波动。（2）渐进变化式突发事件对股票市场和债券市场的冲击效应持续时间比台阶式和脉冲式突发事件更长，表明汶川大地震对股票市场和债券市场的冲击持续时间较长，造成了股票市场和债券市场的持续波动。
再次，根据突发事件的三种类型：台阶式突发事件、脉冲式突发事件和渐进变化式突发事件，利用协整检验分析突发事件背景下股票市场和债券市场之间的长期均衡关系。采用Granger因果关系检验分析突发事件背景下股票市场和债券市场之间的因果关系，寻求突发事件风险的传导路径。建立向量自回归模型（VAR），构建广义脉冲响应函数图，直观地描述不同类型的突发事件对股票与债券市场的动态冲击过程。研究结果表明，突发事件对股票市场、国债市场和企业债市场都产生了显著的影响。脉冲响应函数显示，突发事件对股票市场、国债市场和企业债市场的冲击是一个动态过程。不同类型的突发事件对股票市场、国债市场与企业债市场的动态冲击效应不同，持续时间也不同。
最后，本文研究了突发事件背景下的金融市场应急管理，提出了我国应对突发事件冲击金融市场的策略，主要包括：股票及债券市场应对突发事件的技术策略与非技术策略。
With the development of human society, the emergencies occur frequently.Especially in this century, the emergencies happen more frequently, and present somenew characteristics, such as the follow emergencies: In2001, the happen of UnitedStates "9.11" terrorist attacks made people feel about panic and anxiety; In2003, theoutbreak of SARS virus in China and spread across the country have a great influenceon people's psychology; In2008, the rain and snow freeze disaster broke out in southernChina, and it has caused adverse impact on our country's economy and society; In2008,the Wenchuan earthquake broke out in China, which changed people's outlook on life,values and attitudes; In2011, Japan's Fukushima nuclear power plant leak led people toconcern about the safety of nuclear power, and triggered a widely discussion thatwhether humans should use nuclear power.
At present, our country is in the high-speed economic development period of socialtransition. Our country is facing the serious situation such as a large population andunbalanced economic development. This also makes the whole social interestrelationship is very complicated, and leads to the contradiction between the variousstakeholders. Unconventional emergencies intensify the contradiction between thevarious stakeholders, bring instability to the whole society, cause the instability to theeconomic development, and bring threat to the steady development of China'senterprises. The enterprise is very important to the national economy, and the stabledevelopment of the enterprise is beneficial to the development of the economy. At thesame time, the stability of social and economic development provides a goodenvironment to the enterprise, and it is conducive to the development of enterprises. Theemergencies have influence and impact on economies and societies. Because of thefinancial market is a reflection of the whole economy and society, these influence andimpact would quickly transmitted to the financial markets, and impact to the enterprise,influence enterprise’s stock issuance and financing in the stock market, also affectcorporate bond issuance in the bond market and sales. Therefore, emergencies willaffect the development of the stock market and bond market.
Because the stock market and bond market is an important part of financial marketin China, they a special position in Chinese financial market. The impact of emergencies on the Chinese stock market and bond market will affect the stability of thefinancial market. It has important practical significance to research the impact ofemergencies on stock market and bond market in China, especially for the stability ofthe whole financial market, investors’ investment in the financial market and financialrisk supervision department. The author uses the Econometric analysis method,constructs econometric analysis model, does empirical researches on the impact ofemergencies on Chinese stock market and bond market, and analyzes the influencedegree, the dynamic impact effect and dynamic impact processes of emergencies onthe Chinese stock market and bond market.
First of all, the author studies the impact of emergencies on the stock market andbond market return by the Autoregressive Integrated Moving Average (ARIMA) model.The author selected a far-reaching emergency in China-the Wenchuan earthquake. Theauthor researched the influence of the size and influence degree of the Wenchuanearthquake on Chinese stock market and bond market return. The author do traceprediction to stock market and bond market return using ARIMA model, analyze theinfluence of the size and influence degree of the Wenchuan earthquake on Chinesestock market and bond market return. The author chose another emergency-SARS eventwhich obviously impact China's economic and social to do robustness test. Theempirical results show that, the fitting effect and prediction effect of ARIMA model theauthor built is both good. Prediction results show that Wenchuan earthquake has anegative impact on the stock market, and has positive influence on the bond market.The reason is mainly due to the happening of emergency which lead to investors’“flight-to-quality” behavior and transferring investment from the stock market whichhas higher risk to the bond market which has lower risk. Robustness test results showthat, SARS event has a negative impact on the stock market, and has positive influenceon the bond market. Empirical results have good robustness in this dissertation.
Secondly, based on the characteristics of emergencies’ impact, the author dividesemergency into three types: terraced emergencies, pulse emergencies and gradualchanging emergencies. Using virtual variables to describe the different types ofemergencies, the author build the ARIMA-GARCH transfer function model to study theimpact of the three types of emergencies on the volatility of stock and bond market. Theresults found that:(1) terraced emergencies, pulse emergencies and gradual-changingemergencies all have a significant negative influence on the volatility of the stock market, and have a remarkable positive influence on the Volatility of bond market. Thehappening of emergency, lead to transferring investment from the stock market whichhas higher risk to the bond market which has lower risk, contributed to the volatility ofstock market and bond market.(2) The impact of gradual changing emergencies on thestock market and bond market lasts longer than that of terraced and pulse emergencies.This indicates that the impact of Wenchuan earthquake on the stock market and bondmarket has a longer duration, which leads to the continued volatility of the stock marketand bond market.
Thirdly, The author divide emergency into three types: terraced emergencies, pulseemergencies and gradual changing emergencies. The author use Cointegration test toanalyze the long-term equilibrium relationship between stock market and bond marketunder the background of emergency. The author use Granger causality test to analyzethe causal relationship between stock market and bond market under the background ofemergencies, and seek for risk transmission path of emergency. The author build VectorAutoregressive model (VAR), construct the generalized impulse response function, andintuitively describe dynamic impact process of the different types of emergency onstock and bond markets. The results show that emergencies have a significant impact onthe stock market, Treasury bond market and enterprise bond market. Impulse responsefunction shows that the impact of emergencies on the stock market, bond market andenterprise bond market is a dynamic process. The dynamic impact effect of differenttypes of unconventional emergencies on the stock market, bond market and enterprisebond market effect is different, and the duration is different too.
Finally, the author studies countermeasures of financial market under thebackground of emergency and puts forward the policy recommendations to the impactof emergencies, mainly including: technology strategy and Non-technical strategy ofstock and bond markets respond to emergencies.
引文
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