中美贸易争端对两国股市影响的实证研究——基于宣告效应的分析比较  

Impact of Sino-US Trade Friction on the Stock Markets of China and the United States

作　　者：吕频捷 顾艳伟 LV Pinjie;GU Yanwei(School of Economics,Shanghai University of Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学经济学院,上海200433

出　　处：《中南财经政法大学学报》2020年第6期78-90,160,共14页Journal of Zhongnan University of Economics and Law

摘　　要：在中美贸易争端背景下,本文实证分析中国与美国股市受到的冲击,从而间接考察贸易争端对两国实体经济的影响。首先提出理论模型和研究假设,其次采用广义自回归条件异方差(GARCH)模型进行验证,研究发现:贸易争端信息冲击对中国股市的总体负面影响大于对美国股市的负面影响;区分信息内容属性,利好消息有利于两国股市复苏,利空消息则降低两国股市收益,且中国股市反应更为敏感;区分信息发布归属,两国股市在应对不同国家发布的贸易争端消息时,反应差异较大;区分企业规模及行业板块,中国的工业部门和中小企业股价受贸易争端影响更大,大企业所受影响相对较小,而美国的工业企业股价所受影响更大,其他行业所受影响较小。综上所述,此次中美贸易争端对两国实体经济都造成了显著负面影响,贸易争端没有赢家,应尽快化解两国间的贸易争端,两国贸易关系回归正轨有利于两国经济的中长期健康发展。In order to study the impact of the Sino-US trade friction on the economy of China and the United States,we compare the effect of the trade friction on the stocks market between these two countries.This paper first puts forward the theoretical model and research hypothesis,and then uses the generalized autoregressive conditional heteroskedasticity(GARCH)model to verify them.It is found that:(1)The overall negative impact of Sino-US trade friction on China's stock market is greater than that on the U.S.stock market.(2)The good news of the trade friction benefits two stock markets while the bad news does harm to two countries.The response of China’s stock market is more sensitive.(3)When facing with the news released by different countries,the responses of the two countries’stock markets are quite different.(4)The trade friction has a greater impact on China's small and medium-sized enterprises in the industrial sector,while it has a relatively small impact on large enterprises.The U.S.industrial enterprises are more affected by the trade friction news.In conclusion,the trade dispute truly hurts the economy of both the two countries,and there is no winner in the trade friction.

关 键 词：中美贸易争端 宣告效应 股市波动 广义自回归条件异方差(GARCH)模型 

分 类 号：F831[经济管理—金融学]