【摘要】 食品安全问题事关民众健康和社会稳定,研究食品安全事件对食品股票价格的影响具有重要的现实意义。针对发生于2011年3月15日的"瘦肉精"食品安全事件,以百度指数作为网络关注度指标,研究基于百度指数的食品安全事件对上海、深圳两大交易所食品类股票价格的影响。具体研究方法是采用向量自回归(VAR)模型分析百度指数对股票价格的短期冲击响应,使用自回归分布滞后(ARDL)模型判断百度指数与股票异常累积收益率的长期均衡关系。研究结论表明,百度指数对行业股票平均收盘价存在短期的VAR冲击效应,百度指数与股票异常收益率存在长期协整关系,百度指数对深圳交易所食品概念股股票异常收益率的影响大于上海证交所食品概念股。更多还原

【Abstract】 Food safety concerns people’s health and social stability. It is of great practical significance to study the impact of food safety incidents on food stock prices. Aiming at the "lean meat powder" food safety incident on March 15, 2011, taking Baidu index as an index of online concern, this paper studies the impact of Baidu index-based food safety incidents on the food stock prices of Shanghai and Shenzhen stock exchanges. The specific research method is to use Vector Autoregression(VAR) model to analyze the short-term impact response of Baidu index to stock price, and to use ARDL model to judge the long-term equilibrium relationship between Baidu index and abnormal cumulative return of stock. The results show that Baidu index has a short-term VAR impact on the average closing price of industrial stocks, and there is a long-term co-integration relationship between Baidu index and abnormal return of stocks. Baidu index has a greater impact on abnormal return of food concept stocks in Shenzhen Stock Exchange than that of Shanghai Stock Exchange.更多还原