管理评论

管理评论 ›› 2021, Vol. 33 ›› Issue (3): 66-74.

• 经济与金融管理 • 上一篇    下一篇

医药政策变动对二级市场影响的实证研究：基于集合经验模态分解

杨涛1,2, 魏云捷3,4   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 北京协和医学院, 北京 100730;
    3. 中国科学院数学与系统科学研究院, 北京 100190;
    4. 中国科学院预测科学研究中心, 北京 100190
  • 收稿日期:2020-10-31 出版日期:2021-03-28 发布日期:2021-04-06
  • 通讯作者: 魏云捷(通讯作者),中国科学院数学与系统科学研究院助理研究员,博士
  • 作者简介:杨涛,中国科学院大学经济与管理学院博士研究生。
  • 基金资助:
    国家自然科学基金青年项目（71801213）；国家自然科学基金基础项目（71988101）。

An Empirical Study on the Impact of Pharmaceutical Policies on the Stock Market of Pharmaceutical Industry in China: An Application of Ensemble Empirical Mode Decomposition

Yang Tao1,2, Wei Yunjie3,4   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. Peking Union Medical College, Beijing 100730;
    3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190;
    4. Centerfor Forecasting Science, Chinese Academy of Sciences, Beijing 100190
  • Received:2020-10-31 Online:2021-03-28 Published:2021-04-06

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摘要： 医疗卫生政策的不断出台和调整会对医疗行业实体企业发展产生影响，随着医药行业在股市中的地位越来越重要，医药政策变动对医药行业二级市场的影响成为研究热点之一。本文首先采用集合经验模态分解（ensemble empirical model decomposition，EEMD）对沪深300和医药指数日内波动率进行分解；其次，重构分解结果中各本征模态函数（intrinsic mode function，IMF）分量，分析二者中频部分差异；再次，基于医药政策颁布时间，探究医药政策与医药行业二级市场波动的关联性，分析医药政策对医药行业二级市场的影响。研究结果显示，医药政策发布与医药指数波动密切相关。受仿制药质量和疗效一致性评价、药品上市许可持有人制度试点方案、改革完善仿制药供应保障及使用等新医药政策的影响，医药指数出现了不同程度的上涨；受《深化医药卫生体制改革2016年重点工作任务》、“两票制”和取消药品加成、“4+7”城市药品集中采购等新医药政策的影响，医药指数出现了不同程度的下降。基于本文研究，可为政府制定相关决策、企业调整发展方向以及投资者的投资行为提供科学参考。

关键词: 集合经验模态分解, 医药政策, 医药行业, 股票市场

Abstract: Pharmaceutical policy has been changing constantly for many years in China, and it has influenced the development of pharmaceutical industry to some degree. As the pharmaceutical industry has played a more and more important role in the stock market, how the pharmaceutical policy affects the stock market of pharmaceutical industry is one of the research hot points. In this paper, firstly, the Ensemble Empirical Mode Decomposition (EEMD) is utilized to decompose the intraday volatility of Shanghai and Shenzhen 300 and the pharmaceutical index; secondly, the IMFs are reconstructed to analyze the differences between the intermediate frequency parts of those two series; thirdly, based on the promulgation time of medical policies, this paper explores the dynamic relationships between medical reform policies and the fluctuations of the secondary market of the pharmaceutical industry and analyzes the impact of medical reform policies on the secondary market of the pharmaceutical industry. The release of pharmaceutical policies is closely related to the fluctuation of the pharmaceutical index. Affected by new medical reform policies such as the quality and efficacy consistency evaluation of generic drugs, the pilot program of the drug marketing authorization holder system, reform and improvement of the supply and the use of generic drugs, the pharmaceutical index has risen to varying degrees, rising by 10.96%, 3.47% and 1.31% respectively. Meanwhile, affected by new medical reform policies such as “Deepening the Medical and Health System Reform in 2016”, the “two invoice system” and the cancellation of drug markups, and the “4+7” urban drug centralized procurement, the pharmaceutical index has dropped by 3.79%, 0.87% and 7.98% respectively. This study can provide scientific evidence for government to make relevant decisions, enterprises to adjust the development direction and investors' investment behavior.

Key words: ensemble empirical mode decomposition, pharmaceutical policy, pharmaceutical industry, stock market