外部冲击对中国资本市场的影响研究:基于企业出口的视角  

On the Transmission Mechanism of the Impact of Public Emergencies on China's Capital Market:Evidence from Export Enterprises

作　　者：丁浩员 樊海潮[3,4] 王丹 张丽娜 DING Haoyuan;FAN Haichao;ZHANG Lina;WANG Dan(Shanghai University of Finance and Economics,200433;Fudan University,200433;China Chief Economist Forum,200082)

机构地区：[1]上海财经大学商学院 [2]上海财经大学国际经济合作研究院,200433 [3]复旦大学经济学院,200433 [4]复旦大学世界经济研究所,200433 [5]中国首席经济学家论坛,200082

出　　处：《财贸经济》2022年第11期108-123,共16页Finance & Trade Economics

基　　金：国家自然科学基金面上项目“社会网络、新市场进入与经济绩效研究”(72173082);国家自然科学基金青年项目“后金融危机时期下基于网络分析的实体经济联动性恢复研究”(71703086);中国博士后科学基金面上项目“中美经贸摩擦对中国企业出口绩效的影响研究:理论、实证与政策”(2021M700869)。

摘　　要：本文以新冠肺炎疫情全球蔓延背景下的美股熔断事件为切入点,聚焦企业出口的视角,采用事件研究法,对2020年美股熔断消息披露后中国不同出口规模上市公司在资本市场的反应及其影响机制进行了深入探析,系统揭示并考察了全球化背景下重大突发公共事件冲击对中国资本市场的影响及其传导机制。实证结果表明,中国上市公司出口规模越大,美股熔断消息披露事件窗口期内该企业受到的负向冲击越大,国内投资者对该企业的市场预期越差。进一步研究发现,当企业主要出口国疫情较严重、企业实际控制人性质为外资企业以及企业国内子公司所处地区疫情较严重时,企业在股票市场上所受的负向冲击越大;而当企业属于医药行业或者分析师对该企业关注度较高时,则能有效对冲美股熔断带来的负向冲击。本文研究一方面拓展了文献中关于外部突发公共事件冲击和市场投资者反应二者关系的认知,同时也有助于厘清全球化背景下企业出口贸易与企业资本市场表现的联动关系;另一方面为特殊时期企业应对突发公共事件冲击可能采取的各项措施以及有关部门调整制定相应风险防范政策以维护金融市场稳定提供了重要启示。Using the event study method,this paper investigates how the U.S.stock circuit breakers in 2020 in the context of the COVID-19 pandemic affected the market reaction of Chinese listed companies with different export scales.We find that the larger the export scale of a China's listed company,the lower return the company earned in the event window,and the less confidence domestic investors had in the company.Regression analysis on the transmission mechanism further reveals that,following the U.S.stock circuit breakers in 2020,the negative valuation effect on listed Chinese exporters was more pronounced for firms that exported more to the countries severely hit by COVID-19,for firms located in places most affected by COVID-19 and for foreignfunded firms,but less so for those in the pharmaceutical industry or with more analyst coverage.Our study adds to the extant literature on the relationship between external shocks and investor expectations.This paper reveals the linkage between firms'export performance and the capital market performance.Meanwhile,it provides important insights for both firms and the government to deal with the major public emergencies amidst rising global uncertainty.

关 键 词：美股熔断 中国资本市场 出口企业 重大突发公共事件 

分 类 号：F752.62[经济管理—国际贸易]