流行病引起的恐惧和股市回报:来自中国的证据
Zhi Su1,2, Peng Liu1, Tong Fang3
1School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081, China.
Global finance journal
|November 28, 2023
概括
流行病引起的恐惧 (PIF),通过互联网搜索来衡量,对中国股市回报产生了负面影响. 这种由在线行为驱动的恐惧,预测了市场表现,而不是COVID-19病例数.
科学领域:
- 行为金融是行为金融.
- 金融计量经济学 金融计量经济学
- 公共卫生传播 公共卫生传播
背景情况:
- 随着COVID-19的流行,公众恐惧的程度达到前所未有的水平.
- 了解这种恐惧对金融市场的影响对于经济稳定至关重要.
- 现有的研究还没有完全捕捉到流行病期间公众情绪和股票市场行为之间的细微关系.
研究的目的:
- 利用中国互联网搜索数据开发一种新的"流行病诱发恐惧" (PIF) 指数.
- 实证地评估PIF指数对中国股市回报的影响.
- 探索流行病恐惧影响投资决策和市场结果的机制.
主要方法:
- 基于中国主要搜索引擎的搜索量构建PIF索引.
- 应用减少偏差估计方法用于多变量回归以解决小样本偏差.
- 经验分析PIF指数与股票市场累积回报之间的关系.
主要成果:
- 投资基金指数显示,与股票市场累积回报有统计学上显著的负相关性.
- 投资基金指数对股票回报的影响是持久的,这表明投资者持久的悲观主义和错误定价.
- 互联网搜索行为放大了流行病的恐惧,这反过来又成为股票市场回报的直接预测者,掩盖了病例和死亡人数的预测能力.
结论:
- 通过在线搜索趋势来衡量,大流行引起的恐惧是股票市场表现的重要决定因素.
- 投资者情绪和噪音交易,通过互联网搜索行为放大,在与流行病相关的市场波动中发挥着关键作用.
- 该PIF指数提供了一个有价值的工具,以了解和潜在地减轻在卫生危机期间广泛的公众恐惧的财务影响.
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