新冠疫情对我国股债市场的影响研究——基于ARIMA模型的实证分析  

Research on the Impact of the COVID-19 on China's Stock and Bond Market:Empirical Analysis based on ARIMA model

作　　者：梁尚健 王瀛[1] LIANG Shangjian;WANG Ying(Tianjin University of Commerce,Tianjin 300134,China)

机构地区：[1]天津商业大学,天津300134

出　　处：《中国证券期货》2024年第4期59-66,89,共9页Securities & Futures of China

基　　金：天津市哲学社会科学研究规划项目(TJYJ18-024)。

摘　　要：新冠疫情对全球金融市场产生了巨大影响,我国股票和债券市场也受到较大影响。研究新冠疫情对中国股债市场的影响,可以帮助投资者了解市场状况,规避风险,对其他地区的股债市场也具有借鉴意义。选择2019年9月9日至2020年4月1日的上证指数收盘价和国债指数收盘价数据进行分析,并以新冠疫情对股债市场造成冲击为分界点,将数据分为疫情冲击前和疫情冲击后两个时间段。具体思路为:使用疫情大规模暴发前的数据建立ARIMA模型和Holt两参数指数平滑预测模型,通过比较确定最优模型为ARIMA模型,然后使用ARIMA模型进行短期预测,将预测值和实际值进行对比分析,得出新冠疫情对股债市场收益的影响。结果表明:①在预测股票市场和债券市场收益方面,建立ARIMA模型要优于Holt两参数指数平滑法。②新冠疫情在短期内对股票市场产生负向作用,对债券市场产生正向作用,但随着时间的推移,股票市场和债券市场最终还是会趋于平衡状态。The COVID-19 has had a huge impact on the global financial market,and China's stock and bond markets have also been greatly affected.Studying the impact of the COVID-19 on China's stock and bond market can help investors understand market conditions and avoid risks,and it is also of reference significance for the stock and bond markets in other regions.The closing price data of the Shanghai Composite Index and the closing price of the Treasury Bond Index from September 9,2019 to April 1,2020 were selected for analysis,and the data was divided into two time periods:before and after the epidemic with the impact of the COVID-19 on the stock and bond market.The specific idea is:use the data before the large-scale outbreak of the epidemic to establish the ARIMA model and the Holt two-parameter exponential smoothing prediction model,determine the optimal model as the ARIMA model through comparison,and then use the ARIMA model to make short-term predictions,compare and analyze the predicted value and the actual value,and obtain the impact of the COVID-19 on the income of the stock and bond market.The results show that:①In predicting the returns of the stock market and bond market,the ARIMA model is better than the Holt two-parameter index smoothing method.②The COVID-19 has a negative effect on the stock market in the short term and a positive effect on the bond market,but over time,the stock market and the bond market will eventually tend to a balanced state.

关 键 词：新冠疫情 股债市场 ARIMA模型 Holt两参数指数平滑法 

分 类 号：F832.51[经济管理—金融学]