Guo Jianna, Liu Lu, Tang Yi
School of International Economics and Trade, Shanghai Lixin University of Accounting and Finance, No. 995 Shangchuan Road, Pudong New Area, Shanghai, China.
School of Statistics and Mathematics, Shanghai Lixin University of Accounting and Finance, No. 995 Shangchuan Road, Pudong New Area, Shanghai, China.
Heliyon. 2023 Sep 30;9(10):e20446. doi: 10.1016/j.heliyon.2023.e20446. eCollection 2023 Oct.
Stock markets are vulnerable to systemic events. This study analyzes the impact of multiple macro-characteristic events, such as trade friction, on China's stock markets. By leveraging a new event study and quantile regression method, we find that trade friction events significantly affect the stability of the stock market from six trading days in advance to five trading days after the event. The expected effects of trade friction events significantly influence the high quantile of stock market returns before these events. The low quantile of returns is affected as the news confirmation time approaches. Friction events have an impact before, and on the day of the event, and affect the stability of the stock market by influencing the low-quantile group, whereas mitigation events affect the stability of the stock market for a longer time by influencing the high-quantile group. Regulators and investors should pay attention to the impact of trade friction on the stock market. Regulators should also pay proper attention to the direction of public opinion on positive and negative news to maintain stock market stability.
股票市场容易受到系统性事件的影响。本研究分析了贸易摩擦等多种宏观特征事件对中国股票市场的影响。通过运用一种新的事件研究和分位数回归方法，我们发现贸易摩擦事件从事件发生前六个交易日到事件发生后五个交易日都会显著影响股票市场的稳定性。贸易摩擦事件的预期影响在这些事件发生前会显著影响股票市场回报的高分位数。随着消息确认时间临近，回报的低分位数会受到影响。摩擦事件在事件发生前和当天都会产生影响，并通过影响低分位数群体来影响股票市场的稳定性，而缓解事件则通过影响高分位数群体在更长时间内影响股票市场的稳定性。监管机构和投资者应关注贸易摩擦对股票市场的影响。监管机构还应适当关注关于正面和负面消息的舆论导向，以维持股票市场的稳定。
