管理评论

管理评论 ›› 2022, Vol. 34 ›› Issue (8): 54-64.

• 经济与金融管理 • 上一篇    下一篇

疫情防控与股价波动:来自中国上市公司的经验证据

文磊1, 李宏兵2   

  1. 1. 首都经济贸易大学经济学院, 北京 100070;
    2. 北京邮电大学经济管理学院, 北京 100876
  • 收稿日期:2020-11-17 出版日期:2022-08-28 发布日期:2022-09-21
  • 通讯作者: 李宏兵(通讯作者),北京邮电大学经济管理学院副教授,博士
  • 作者简介:文磊,首都经济贸易大学经济学院讲师,博士。
  • 基金资助:
    国家社会科学基金一般项目(19FJLB023);北京市自然科学基金面上项目(9192015)。

Epidemic Control and Stock Price Volatility: Empirical Evidence from Listed Chinese Companies

Wen Lei1, Li Hongbing2   

  1. 1. School of Economics, Capital University of Economics and Business, Beijing 100070;
    2. School of Economics and Management, Beijing University of Posts and Telecommunications, Beijing 100876
  • Received:2020-11-17 Online:2022-08-28 Published:2022-09-21

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摘要： 新冠肺炎疫情发生以后,中国实施了分级分区差异化的疫情防控措施,对于统筹疫情防控与经济社会发展发挥了积极作用。本文以2020年湖北省实施的“离鄂通道管控,公共交通暂停”为准自然实验,基于2020年1月6日—4月3日的股票交易数据,利用倍差法考察了疫情防控措施对上市公司股价波动的影响。结果表明,疫情防控显著降低了股价波动,实施该措施以后,湖北省上市公司的股票波动率平均下降了10.8%。使用多种方法进行DID有效性分析并进行稳健性检验以后,该结论依然成立。机制分析表明,基本经济面和投资者情绪是疫情防控影响股价波动的重要机制,但二者的作用方向不尽相同:疫情防控短时期内会对地区经济增长产生不利影响,从而在一定程度上可能加剧股价波动;但有效的防控措施降低了疫情传播和蔓延,缓解了投资者恐慌、忧虑的负面情绪,因而有助于降低股价波动。在此基础上,本文分别从企业所有制、机构持股比例、要素密集度和股票评级四个方面进行了异质性分析,发现疫情防控对股价波动的影响存在差异。本文的相关内容和结论为更加客观公正地评价中国的疫情防控措施,同时,为世界经济不确定性和多样性挑战日益加深背景下的金融风险化解和金融市场稳定提供了一定理论支撑和量化证据。

关键词: 新冠肺炎疫情, 疫情防控, 股价波动, 投资者情绪, 倍差法

Abstract: After the outbreak of COVID-19, there was a heated debate among scholars on the health effects and economic and social effects of the epidemic prevention and control measures taken in China. Based on the stock trading data from January 13 to April 3, 2020, this paper uses the “difference-in-difference” method to investigate the impact of lockdown on the stock price volatility of listed companies. The results show that the stock volatility of listed companies in Hubei province decreased by 10.8% after the implementation of lockdown. The mechanism analysis shows that macro-economic situation and investors’ sentiment mediate the effect of Hubei lockdown on the stock price volatility. On the one hand, lockdown reduces economic growth, so it increases the stock volatility. On the other hand, lockdown eases the spread of the epidemic, and reduces investors’ negative sentiment, so it helps reduce stock price volatility. On this basis, this paper analyzes the heterogeneity from different development stages of COVID-19, the nature of listed companies and the characteristics of their industries, and finds that the impact of lockdown on stock volatility is uncertain. This paper provides a more objective and fair evaluation of the epidemic prevention and control measures represented by lockdown in China, and provides theoretical support and quantitative evidence for financial risk mitigation and financial market stability in the context of deepening economic uncertainty and diversified challenges.

Key words: COVID-19, lockdown, stock volatility, investor sentiment, difference-in-difference