地震灾难对金融市场影响的比较研究

发布时间：2018-11-21 17:03

【摘要】：为研究地震灾难对金融市场的影响,本文以中国汶川地震和日本东大地震为例,以中国和日本债券市场、股票市场及大宗商品市场的74个指数(包括46个行业指数及2个期货合约)自2002年起至2012年逾10年的对数收益为研究对象,采用非参数估计法进行实证研究,这也是国内首次将非参数估计法应用于地震灾难对金融市场的影响的研究中,同时,也是首次对债券市场及大宗商品市场进行地震灾难的影响研究及中日市场反应的比较研究。实证结果显示,地震灾难对一国不同市场的影响不同,不同地震灾难对一国同一市场的影响也有所不同,同一地震灾难对一国同一市场的不同行业影响也不尽相同,且同一地震灾难对一国同一市场的同一行业在震后不同时间段的影响也会有所变化,此外,通过中日对比,可以发现,处于不同发达程度的同类市场受到类似地震灾难的影响也不相同。而这些不同恰好可以为面临地震风险的投资者或机构搭建起一个跨国别、市场、行业、时期的风险分散策略。
[Abstract]:In order to study the impact of the earthquake disaster on the financial market, this paper takes the Wenchuan earthquake in China and the Dongda earthquake in Japan as examples, and takes the bond markets of China and Japan as examples. The logarithmic returns of 74 indexes (including 46 industry indexes and 2 futures contracts) in stock market and commodity market from 2002 to 2012 were studied. The non-parametric estimation method was used to carry out the empirical study. This is the first time in China to apply the nonparametric estimation method to the study of the impact of earthquake disaster on financial market. At the same time, it is also the first time to study the impact of earthquake disaster on bond market and commodity market and to compare the market response between China and Japan. The empirical results show that the effects of earthquake disasters on different markets of a country are different, the effects of different earthquake disasters on the same market of a country are also different, and the effects of the same earthquake disaster on different industries in the same market of a country are also different. And the impact of the same earthquake disaster on the same industry in the same market in a country will also change in different periods after the earthquake. In addition, through the comparison between China and Japan, it can be found that, Similar markets with different levels of development are also affected by similar earthquake disasters. These differences can set up a transnational, market, industry, period risk diversification strategy for investors or institutions facing earthquake risk.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.5;F833.13

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