【作者】 徐敏；

【导师】 李勇；

【作者基本信息】 东华大学 ， 金融硕士（专业学位）， 2022， 硕士

【摘要】 2019年末,新冠肺炎疫情的爆发及全球蔓延,一时间在网络上引发热议,网络舆情影响着对市场的心理预期,从而影响投资行为,进而对全球的金融市场造成冲击。在发生当时和事件过后,市场都处于异常波动状态,我国股市重新开市后上证综指下跌了7.74%,之后市场一直处于较大幅度的波动中;美股四次熔断、英法德等国家市场指数都出现大幅下跌。在这种波动中,部分行业随市场同步下跌,而部分行业却受到利好效应,反而行业指数逆向上升。本文则研究了COVID-19事件背景下,股市波动背后的网络舆情这个因素的传导机制以及传导效果,从投资者情绪的视角出发,量化了舆情变量,降低了变量间的非独立性和交互性,先后使用文献研究法梳理机制和研究角度并提出研究假设;事件分析法划分窗口期和计算申万一级分类下的行业异常收益率,并进行描述性统计分析、VAR模型实证研究股吧舆情文本对市场整体和分行业的冲击方向和幅度。最后得出2019年12月30日至2020年12月29日期间,COVID-19事件对于股市整体及各行业板块收益波动的时变性和异质性影响。得出的主要结论有:COVID-19会导致股市整体的交易量和收益率发生大幅波动。分行业看,电子行业、非银金融行业的波动最大;其次是银行、计算机、电力设备、医药生物、传媒、基础化工、房地产、公用事业、建筑装饰、机械设备行业;最后是农林牧渔、钢铁、有色金属、食品饮料、纺织服饰、轻工制造、交通运输、商贸零售、社会服务、建筑材料、国防军工、通信、汽车、家用电器行业。突发疫情对股市的负向冲击以短期为主,对股市波动的影响逐渐减弱。新冠肺炎疫情引发的网络舆情情绪对行业交易量造成负面影响,且在窗口期不同阶段有不同表现。基础化工、家用电器、纺织服饰、建筑材料、建筑装饰、计算机、通信、汽车、机械设备行业的股市波动在传播期最强烈,然后是反复期,最后是爆发期;交通运输、有色金属、轻工制造、农林牧渔、商贸零售、钢铁、食品饮料、社会服务、电力设备、国防军工、银行、房地产、公用事业、非银金融行业的交易量在反复期波动最大,然后是传播期,最后是爆发期。新冠肺炎疫情对行业的异质性影响研究显示,不同行业收益率受疫情的影响是不同的。疫情情绪对农林牧渔、医药生物、食品饮料、纺织服饰、基础化工、公用事业、电力设备、社会服务、商贸零售、建筑装饰、国防军工、机械设备产生显著正向冲击,对有色金属、钢铁、家用电器、房地产、银行、传媒行业短期内均产生显著负向冲击,并且集中表现在爆发期和传播期间,影响程度最大的是房地产和传媒行业,剩余行业冲击较小。突发事件对股价波动的影响主要通过投资者情绪进行传递。新冠疫情在冲击网络舆情和股价方面存在相似的方向及走势;爆发期、传播期以及反复期中,股市受到的影响最大;SENT对于AR的影响要大于AR对SENT的影响。最后,根据理论和实证分析的结果,从投资者情绪的角度,为不同的市场主体提供意见和建议,以确保股票市场的健康发展。本文的创新点主要有:研究角度中,选取了近期新冠疫情这一重大公共卫生突发事件,研究其对我国股票市场产生的影响。并从投资者情绪角度入手,解释了突发事件通过滋生网络舆论来影响投资者情绪从而产生了传递效应的作用机制。本文利用网络舆情分数作为情绪的代理变量来衡量投资者情绪。疫情反复持续存在,利用最新的疫情数据进行研究分析,增加疫情对股市的中长期影响。研究方法中,本文不局限于使用事件分析法或建立面板数据模型来进行研究,而是先通过事件分析法划分窗口期和计算申万一级分类下的行业异常收益率,并进行描述性统计分析、然后建立VAR模型实证研究股吧舆情文本对市场整体和分行业的冲击方向和幅度。更多还原

【Abstract】 This article takes the outbreak of the new crown epidemic in late 2019 as the event window to study the relationship between the investor sentiment represented by the network public opinion and the stock market under the natural event of the new crown epidemic.Using three methods: literature research method,event analysis method and VAR model,we study the time-varying and heterogeneous effects of the COVID-19 event on the stock market volatility as a whole and the return volatility of various industry sectors during the period from December 30,2019 to December 29,2020.Firstly,a theoretical overview is given,and relevant literatures on public health emergencies and stock market fluctuations are read and sorted out.According to the research and related theories of predecessors,the mechanism of network public opinion on stock market volatility under the new crown pneumonia epidemic is analyzed from the perspective of investor sentiment,and put forward research hypotheses.First,use the event analysis method to analyze the impact of the new crown pneumonia epidemic on the overall trading volume and yield fluctuations of my country’s stock market,and then the epidemic situation had a significant impact on various industry sectors according to the Shenwan first-level industry classification data.The empirical part obtains public opinion data through stock bar texts,establishes network public opinion sentiment indicators,and establishes a VAR model between the obtained network public opinion scores and stock market abnormal returns,and analyzes the time-varying effect of network public opinion sentiment caused by public health events on different industries in my country.and heterogeneous effects.The main conclusions reached are:The occurrence of the new crown epidemic event will lead to large fluctuations in the overall trading volume of the stock market.In terms of industries,the electronics industry and non-banking financial industry have the largest fluctuations;followed by pharmaceutical and biological,banking,computer,power equipment,media,basic chemicals,real estate,machinery and equipment,public utilities,building decoration industries;finally,agriculture,forestry,animal husbandry,fishery,Steel,non-ferrous metals,household appliances,food and beverages,textiles and apparel,light manufacturing,transportation,commerce and retail,social services,building materials,defense and military industries,communications,and automotive industries.The negative impact of the sudden epidemic on the stock market is mainly shortterm,and the impact on the volatility of the stock market is gradually weakened.Basic chemicals,household appliances,etc.,textile and apparel,building materials,building decoration,computer,communication,automobile,machinery and equipment industries have the strongest stock market fluctuations in the contagion period,followed by the repeated period,and finally the outbreak period;agriculture,forestry,animal husbandry,fishery,steel,non-ferrous metals,food and beverages,The stock market trading volume of light manufacturing,public utilities,transportation,real estate,commerce and retail,social services,power equipment,defense and military industry,banking,and non-banking financial industries fluctuated the most during the repeated period,followed by the contagion period,and finally the outbreak period.The research on the heterogeneous impact of the new crown pneumonia epidemic on my country’s listed companies shows that the impact of the epidemic on listed companies in different industries is different.Agriculture,forestry,animal husbandry and fishery,basic chemicals,medicine and biology,food and beverage,textile and apparel,public utilities,power equipment,social services,trade and retail,building decoration,national defense and military industry,machinery and equipment industries have a significant positive impact,and have a significant positive impact on non-ferrous metals,steel,household The electrical appliances,real estate,banking,and media industries all have a significant negative impact in the short term.The negative impact is concentrated in the outbreak period and the spread period.The real estate and media industries have the largest impact,and the remaining industries have less impact.The volatility of stock prices caused by emergencies is mainly transmitted through investor sentiment.The impact of the new crown epidemic on online public opinion and stock prices has a similar impact direction and trend;the outbreak period,the spread period and the repeated period;the influence of Internet public opinion score on abnormal stock returns is greater than the influence of abnormal stock returns on Internet public opinion scores.Finally,based on the results of theoretical analysis and empirical analysis.The main innovations of this paper are:This paper uses the Internet public opinion index as a proxy variable of sentiment to measure investor sentiment.Under the situation of repeated epidemics,use the latest data to conduct research and analysis to increase the medium and long-term impact of the epidemic on the stock market.In the research method,this paper does not simply use the event analysis method or establish a time series model to conduct the research,but first uses the event analysis method to study the relationship between the changes of the new crown pneumonia epidemic and the fluctuation of China’s stock market,and then establishes a VAR model to study the heterogeneity fluctuations of various industry sectors of China’s stock market during the new crown pneumonia epidemic.更多还原