新冠肺炎與市場反應之研究：以各國市場為例

The COVID-19 Outbreak and Stock Market Responses: Evidence from World Stock Indices

劉蕓(Yun Liu)

指導教授 ： 李彥賢

中原大學/商學院/財務金融研究所/碩士(2021年)

https://doi.org/10.6840/cycu202100713

摘要

從2019末在中國武漢發現的新冠肺炎病株到成為全球大流行的COVID-19，此場突發其來的衝擊對股市來說，是前所未有的事件。這篇論文主要研究突發流行疾病對股票市場的異常報酬反應以及一個國家所擁有的全民醫療系統如何改變此突發疾病對股價異常報酬的影響。論文中所使用的資料為68個國家或地區從2019年1 月2 日至2020年12月31日間的累積異常報酬數據，發現累積異常報酬會在短期內對突發的流行疾病表現出顯著的負異常報酬。此論文也進一步發現，當疾病流行的時間延續越長，各國全民健康覆蓋率的普及程度對股價異常報酬的正面影響就越大且越顯著。然而，當一個國家的確診病例總數增加時，情況會出現反轉。以上結果顯示在疫情期間，全民健康覆蓋率是影響股價異常報酬率的關鍵因素，然而影響程度卻會隨著確診人口上升而下降。

關鍵字

新冠肺炎 ； 異常報酬 ； 全民健康覆蓋率 ； 確診病例總數

並列摘要

The outbreak of COVID-19 pandemic came as an unprecedented event to the stock market. In this thesis, I examine the stock markets’ reaction to this pandemic and the endurance of a country’s universal health system. Using cumulative abnormal return data from 68 countries over the period from January 2, 2019 to December 31, 2020, I found that cumulative abnormal returns reacted negatively to the pandemic in the short-term period. Furthermore, I also found the fact that the longer the pandemic lasts, the greater the positive impact of universal health coverage becomes, but the result reversed when the total number of confirmed cases in a country increased. Overall, my result suggests that universal health coverage, a novel index created by WHO is to measure the health quality a community could receive during diseases, is an important factor during the outbreak of an epidemic which could remind governments to put an eye on their health coverage while virus outbreaks in order to stabilize the stock market.

並列關鍵字

COVID-19 ； Abnormal Return ； Universal Health Coverage ； Total Confirmed Cases

參考文獻

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