本研究檢測新冠肺炎對證券市場之影響,採用美國股票市場股價指數為研究樣本,研究期間為2019年12月31日至2020年5月15日,為檢測新型冠狀病毒疫情對美國股票市場之影響,本研究採用Granger因果關係檢定(Granger causality test),檢測新型冠狀病毒疫情是否成為影響美國股票市場的原因之一。實證結果發現確診人數總計成長百分比對多數美國股票市場各指數報酬率皆具顯著的領先之關係;換言之,確診人數總計成長百分比在疫情期間為影響美國股票報酬率的原因之一。此外,樣本期間美國股價指數報酬率的變異除了受到本身的影響之外,亦會受到確診人數總計成長百分比的影響,確診人數總計成長百分比約可解釋美國股價指數報酬率30%左右的變異;新增死亡人數成長百分比約可解釋美國股價指數報酬率10%左右的變異。
This study examines the influence of COVID-19 on the U.S. stock market by adopting US stock market indices as samples for the period from December 31, 2019, to May 15, 2020. The Granger causality test was used to verify whether the COVID-19 pandemic has influenced the U.S. stock market, where the results indicated that it has. Specifically, the total percentage growth of confirmed COVID-19 case numbers had significant leading relations with most return indices on the US stock market. In addition, during the sample period, the variation of U.S. stock index returns were influenced by its own changes and the total percentage growth of confirmed COVID-19 cases; the latter could explain approximately 30% of the variance in return indices. Furthermore, the percentage growth of the cumulative death toll could explain approximately 10% of the variance in U.S. stock index returns.