中美贸易摩擦对我国股市影响的实证分析  

Empirical Analysis of the Impact of Sino-US Trade Frictions on China’s Stock Markets

作　　者：陈泳霖 侯梁祖 CHEN Yonglin;HOU Liangzu(Soochow University Suzhou,Jiangsu 215000)

机构地区：[1]苏州大学,江苏苏州215000

出　　处：《中国商论》2022年第18期98-104,共7页China Journal of Commerce

摘　　要：中美贸易摩擦的爆发极大地增加了中美和世界经济的不确定性,也使中国的股票市场产生剧烈波动。本文采用事件分析法分析了不同的正面事件及负面事件对股票市场不同行业表现的具体影响,还将中美贸易摩擦作为哑变量参与建模,使用CAPM模型分析贸易摩擦对不同行业短期系统性风险的影响。结果发现:第一,不同行业受贸易摩擦的影响程度不同,而在中国股市中,除了农、林、牧、渔业受负面影响较小外,其他行业均受到较大冲击;第二,贸易摩擦事件对异常收益率的影响随时间推移而下降;第三,中美贸易摩擦降低了股票市场大多数行业的短期系统性风险。对此,本文提出了一些建议,以供参考。The outbreak of trade frictions between the US and China has greatly increased economic uncertainties in the US,in China,and around the world,and has also caused dramatic volatility in China’s stock markets.This paper uses event analysis methodology to analyze the specifi c impacts of diff erent positive events and negative events on the performance of diff erent sectors in the stock markets,and also involves the US-China trade frictions as dummy variables in modeling,analyzing the impact of trade frictions on the short-term systematic risks of different sectors using the CAPM model.The results fi nd that,fi rst,diff erent industries are aff ected by trade frictions to diff erent degrees,while in China’s stock markets,all industries are heavily hit,except for agriculture,forestry,animal husbandry and fi shery industry,which are less negatively aff ected;second,the impact of trade friction events on abnormal returns decreases as time passes by;third,the Sino-US trade frictions reduce the short-term systematic risks in most sectors of the stock markets.In this regard,some suggestions are also provided for reference.

关 键 词：中美贸易摩擦 股票市场 异常收益率 事件分析法 CAPM模型 

分 类 号：F752.7[经济管理—国际贸易]