南方科技大学知识苑(SUSTech KC): 新冠疫情防控对中国股市波动的影响研究

Title	新冠疫情防控对中国股市波动的影响研究
Alternative Title	STUDIES ON THE IMPACT OF COVID-19 PREVENTION AND CONTROL ON THE VOLATILITY OF CHINESE STOCK MARKET
Author	林思源
Name pinyin	LIN Siyuan
School number	12132980
Degree	硕士
Discipline	0251 金融
Subject category of dissertation	学术型::02 经济学
Supervisor	孙便霞
Mentor unit	商学院
Publication Years	2023-05-18
Submission date	2023-06-30
University	南方科技大学
Place of Publication	深圳
Abstract	新冠疫情的爆发极大地影响了金融市场，本文旨在探究疫情期间我国政府的疫情防控措施对A股市场波动性的影响。疫情防控指数方面，本文选取了牛津大学发布的冠状病毒政府应对跟踪器(OxCGRT)所计算出的中国政府应对Covid-19大流行的两个指数GSI和CHI；股市波动数据则来自于基于日内高频数据计算得到的已实现波动率（RV）。本文采用HAR-RV模型来研究政府疫情防控措施对股市波动的影响，并在模型中加入了中国经济政策不确定指数、花旗中国经济意外指数，中国投资者情绪指数、美国标普 500 指数已实现波动率等作为控制变量，以控制来自于宏观经济、投资者情绪、外部风险溢出等方面对A股市场波动率的影响。实证结果显示，政府疫情防控指数GSI对市场波动有显著的负向影响，也即政府放宽疫情防控措施会显著降低市场波动。CHI指标相比GSI指标包含更多方面的疫情相关信息的衡量，同样地，CHI指标的下降会显著平抑市场波动，与前者相同。此外，新冠疫情新增确诊人数、投资者情绪和美股市场波动均对A股市场波动有显著的正向影响。进一步的研究中，本文将已实现波动率分解为连续波动和日内跳跃两类成分，发现针对连续波动成分的实证结果与以实现波动基本相同，也即疫情防控措施放宽对市场波动的平抑作用，主要是通过显著降低波动中的连续成分来实现的。本文的实证结果可为未来可能的公共卫生事件中的监管方和投资者提供决策参考。
Other Abstract	The outbreak of the Covid-19 epidemic has greatly affected the financial market. This paper is trying to explore the impact of the Chinese government epidemic prevention and control measures on the volatility of the A-share market during the Covid-19 epidemic. In terms of epidemic prevention and control index, this paper selected the two indices GSI and CHI which measure the Chinese government's response to the Covid-19 pandemic and calculated by the Coronavirus Government Response Tracker (OxCGRT) released by Oxford University. Stock market volatility data is derived from realized volatility (RV) based on intraday high frequency data. In this paper, HAR-RV model is used to study the impact of government’s epidemic prevention and control measures on stock market volatility. Besides Chinese economic policy uncertainty index, Citi Chinese Economic Surprise Index, Chinese investor sentiment index, realized volatility of S&P 500 index are added to the model to control the impact from macroeconomic, investor sentiment, external risk spillover on the volatility of the A-share market. The empirical results showed that the government epidemic prevention and control index (GSI) had a significant negative impact on market volatility, which means the relaxation of government epidemic prevention and control measures would significantly reduce market volatility. Similarly, a decline in the CHI, which contains more measures of epidemic-related information than the GSI, will significantly calm market volatility. In addition, the number of newly confirmed COVID-19 cases, investor sentiment and the volatility of the US stock market all have a significant positive impact on the volatility of the A-share market. Furthermore, the realized volatility was decomposed into two components: continuous volatility and jump. It was found that the empirical results for continuous volatility components were basically the same as RV, that is, the easing of epidemic prevention and control measures on market volatility was mainly achieved by significantly reducing the continuous components of volatility. The empirical results of this paper can provide reference for regulators and investors to make decisions in future possible public health events.
Keywords	新冠疫情市场波动已实现波动率政府反应
Other Keyword	Covid-19 Market Volatility Realized Volatility Government Response
Language	Chinese
Training classes	独立培养
Enrollment Year	2021
Year of Degree Awarded	2023-06
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Academic Degree Assessment Sub committee	金融
Domestic book classification number	F832.5
Data Source	人工提交
Document Type	Thesis
Identifier	http://kc.sustech.edu.cn/handle/2SGJ60CL/544655
Department	Department of Finance
Recommended Citation GB/T 7714	林思源. 新冠疫情防控对中国股市波动的影响研究[D]. 深圳. 南方科技大学,2023.

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