环境不确定性对假日效应下的投资库存感知的影响
1School of Mathematics & Statistics, Shaoguan University, Shaoguan City, Guangdong, China.
PloS one
|August 3, 2023
概括
假期后,股票市场波动性增加,特别是在COVID-19大流行期间的小额股票. 这种假日效应被市场不确定性和封锁措施放大,影响了投资者的信心.
科学领域:
- * 金融经济学 金融经济学
- *市场波动性分析
背景情况:
- * 假日效应描述了金融市场在公共假日周围可预测的模式.
- *COVID-19大流行带来了前所未有的市场状况,可能会改变传统假期的影响.
- *投资者不确定性和封锁措施可能会影响假期期间的股票市场行为.
研究的目的:
- * 调查假日效应对不同市场规模的股票市场波动的影响.
- *分析中国武汉的COVID-19封锁如何影响假日效应.
- * 评估假期长度和市值对股票波动的影响差异.
主要方法:
- * 采用差分和双差分方法来分析市场数据.
- *使用了GARCH+DID混合方法,这是这项研究的一种新方法.
- *检查的股票市场指数数据包括CSI全股,CNI1000,CNI2000,CNI大股,CNI中股和CNI小股.
主要成果:
- * 在市场指数中,在连续假期后的第二天观察到大量的股票波动.
- *较长的假期 (4天) 与较短的假期 (2天) 相比,小额股票的波动性更大.
- * 疫情对股票假期效应的影响对于小股票来说比大股票更为明显.
- * 投资者不确定性,与封锁的封闭效应相关,导致股票波动增加.
结论:
- * 假日效应在中国股市持续存在,假期后波动性增加.
- * 市场资本化起着至关重要的作用,小股表现出对假日影响和与流行病相关的不确定性高度敏感.
- * GARCH+DID方法提供了一个强大的框架,用于分析在流行病等特殊情况下的市场波动性.
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