氣候突發(fā)事件對我國股市的影響研究課件

氣候突發(fā)事件對我國股市的影響研究

南京信息工程大學(xué)經(jīng)濟管理學(xué)院

曹廣喜

博士、副教授1/14/20231第26屆中國氣象學(xué)會年會本課題資助情況：中國氣象局氣象軟科學(xué)課題：氣候變化對中國證券市場的影響及其對策研究（編號：GQR2009025）江蘇省教育廳高校哲學(xué)社科基金項目(08SJD790020)1/14/20232第26屆中國氣象學(xué)會年會0研究背景和研究意義研究背景：氣候極端事件，如“暴雨，強風(fēng)，沙塵暴，低溫冷害，暴風(fēng)雪，干旱，厄爾尼諾等災(zāi)害事件增多增強；中外證券市場中出現(xiàn)的大量且持續(xù)的異常現(xiàn)象使得政府和經(jīng)濟學(xué)家均開始認識到人類行為自身的重要性，氣候或天氣變化導(dǎo)致人的情緒變化的主要因素；研究意義：拓展氣象服務(wù)領(lǐng)域；金融監(jiān)管和調(diào)控；增強投資者風(fēng)險意識；1/14/20233第26屆中國氣象學(xué)會年會一、主要內(nèi)容與方法：內(nèi)容：從氣候變化引發(fā)的突發(fā)性氣候災(zāi)害事件與股市波動的關(guān)系角度，以1998年洪災(zāi)和2003年冰雪災(zāi)害為樣本點，實證分析氣候突發(fā)事件對我國股市的影響，并提出相關(guān)對策建議。方法：事件分析法1/14/20234第26屆中國氣象學(xué)會年會二、已有研究述評國外：Sunadesr(1993)基于對1927至1989年間道瓊斯工業(yè)指數(shù)和1962至1989年間紐約證券交易所指數(shù)的每日數(shù)據(jù)的觀察，Sunadesr發(fā)現(xiàn)籠罩紐約城的云的多寡程度和紐約股票價格的變動之間存在著有意義的聯(lián)系；Hsrihieierf和shumway(2003)[5]對云層覆蓋和股票收益之間關(guān)系更進一步地做出了探討。國內(nèi)：儀垂林（2006）從氣候變化對人的情緒影響，從而影響股民投資決策的角度，探討了氣候變化通過影響投資人情緒，進而影響投資決策，導(dǎo)致證券市場股價波動的現(xiàn)象；2007年中南財經(jīng)政法大學(xué)的伍青則進一步研究了突發(fā)性事件發(fā)生期間相關(guān)上市公司的股市表現(xiàn)。該研究表明，航天板塊事件與相關(guān)樣本公司的股票波動具有顯著的關(guān)聯(lián)1/14/20235第26屆中國氣象學(xué)會年會timeTSARTSARZ-statisticTSARp-valueCumulativeTSARCTSARZ-statisticCTSARp-value-1511.7223831.79025070.073413611.7223831.79025070.0734136-144.66672110.7127050.476028316.3891041.76985690.076751-131.98078510.30250690.762265718.3698891.61973460.1052893-12-24.426927-3.73049760.0001911*-6.0570377-0.46251750.6437102-11-5.9331932-0.90612150.3648716-11.990231-0.81891810.4128331-10-20.560495-3.14001340.0016894*-32.550726-2.02947170.0424103*-9-11.882498-1.81470360.0695695-44.433225-2.56481910.010323*-8-24.375953-3.72271280.0001971*-68.809177-3.71534640.0002029*-78.8206181.3470910.1779509-59.98856-3.05383180.0022594*-65.9918810.91508430.3601474-53.996679-2.60774410.0091141*-5-12.606894-1.92533380.0541876-66.603573-3.06689650.0021629*-45.84843310.89317690.3717625-60.75514-2.67849190.0073955*-311.7176351.78952560.0735302-49.037505-2.07708670.0377936*-2-5.4264377-0.82872940.4072575-54.463942-2.22301810.0262146*-110.9430511.67123050.0946762-43.520892-1.71612960.08613830-8.047746-1.22905750.2190503-51.568638-1.96889970.0489646*1-13.743-2.09884080.0358309*-65.311638-2.4191570.0155565*2-0.6614459-0.10101650.9195374-65.973084-2.37480780.0175581*3-12.351195-1.88628330.0592568-78.324279-2.74421120.0060656*4-3.4548494-0.5276270.5977582-81.779128-2.79270720.0052269*5-17.091456-2.61021930.0090484*-98.870584-3.29499980.0009842*616.0999462.45879520.0139404*-82.770638-2.69502560.0070383*7-22.675283-3.46298530.0005342*-105.44592-3.35786940.0007855*86.88282691.05115020.2931896-98.563095-3.07260440.002122*97.83781361.19699650.2313079-90.725281-2.77112590.0055863*10-41.530238-6.34252742.26E-10-132.25552-3.96118447.458E-0511-2.1452713-0.32762730.7431934-134.40079-3.9501897.809E-0512-3.5868348-0.5477840.5838403-137.98763-3.982536.819E-0513-14.565872-2.22451040.0261141*-152.5535-4.32634451.516E-0514-0.6622803-0.10114390.9194362-153.21578-4.2720941.936E-0515-17.238277-2.63264190.0084724*-170.45405-4.67546082.933E-06表11998年國內(nèi)樣本公司的TAR，CAR統(tǒng)計量及顯著性表1/14/20237第26屆中國氣象學(xué)會年會表21998年國內(nèi)樣本公司的TAR，CAR統(tǒng)計量及顯著性表timeTSARTSARZ-statisticTSARp-valueCumulativeTSARCTSARZ-statisticCTSARp-value-15-2.0282971-0.34428230.730634-2.0282971-0.34428230.730634-142.87838630.48857610.62514180.85008920.10203110.918732-13-3.6739059-0.62360720.5328856-2.8238167-0.27673180.7819861-12-13.736577-2.33164070.0197196*-16.560393-1.40547710.1598795-11-4.4821045-0.76079050.4467822-21.042498-1.59733280.1101915-10-13.684752-2.32284410.0201875*-34.72725-2.40645580.0161082*-9-16.696098-2.83398870.0045971*-51.423348-3.29909220.00097*-8-13.371859-2.26973370.0232237*-64.795207-3.88849020.0001009*-724.66054.1858632.841E-05-40.134707-2.27081610.0231581*-6-2.5010789-0.42453210.6711778-42.635785-2.28853410.0221064*-5-18.40181-3.12351550.001787*-61.037595-3.1238070.0017853*-4-3.2827653-0.55721520.5773804-64.320361-3.15167170.0016234*-32.421090.41095480.6811057-61.899271-2.91404980.0035677*-23.8889570.66010990.5091833-58.010314-2.63162690.0084977*-14.07022790.69087880.4896417-53.940086-2.3640090.0180784*01.31431020.22309050.8234651-52.625775-2.23316920.0255378*1-14.127757-2.39803950.0164831*-66.753533-2.74810240.0059941*2-1.4204155-0.24110070.8094771-68.173948-2.72750350.0063816*3-13.166695-2.23490920.0254233*-81.340643-3.16748030.0015377*4-4.0668541-0.69030610.4900017-85.407497-3.2416350.0011885*5-7.9806977-1.35464030.1755322-93.388195-3.45911860.0005419*69.75003031.6549660.0979314-83.638164-3.02674810.002472*7-12.511559-2.12370680.0336947*-96.149724-3.40304150.0006664*87.0948291.20427330.228484-89.054895-3.08556920.0020316*92.09140250.35499380.7225942-86.963492-2.95222930.0031549*10-1.161105-0.19708550.8437607-88.124597-2.93355060.0033511*116.1877481.05030570.2935776-81.936849-2.67658170.0074377*12-6.9221396-1.17496110.2400103-88.858989-2.85039780.0043665*13-12.468571-2.116410.03431*-101.32756-3.19382930.001404*142.5138840.42670560.6695938-98.813676-3.06224230.0021969*15-10.157639-1.72415340.0846802-108.97131-3.32211350.0008934*1/14/20238第26屆中國氣象學(xué)會年會表42008年冰雪災(zāi)害的交通和土木工程建筑板塊樣本公司的TAR，CAR統(tǒng)計量及顯著性表

timeTSARTSARZ-statisticTSARp-valueCumulativeTSARCTSARZ-statisticCTSARp-value-159.45121741.44339660.14890889.45121741.44339660.1489088-1412.3758881.89005440.058750721.8271052.35710580.018418*-133.79355560.57935450.5623525.6206612.25905930.0238797*-123.08402370.47099430.637644828.7046852.19189990.0283867*-110.16860910.02575010.979456728.8732941.97201070.0486084*-1021.4539473.2764620.0010512*50.3272413.13780120.0017022*-918.3206552.79794340.0051429*68.6478963.96256277.415E-05-89.08390841.38730090.1653577.7318044.19712292.703E-05-742.496046.49002548.582E-11120.227846.12042729.332E-10-613.7326492.09725990.0359706*133.960496.46955899.829E-11-511.6705751.78233840.0746941145.631076.70587772.002E-11-418.6896512.85429670.0043132*164.320727.24435364.345E-13-3-41.035346-6.26694723.682E-10123.285375.22201131.77E-07-223.2600033.55228410.0003819*146.545385.98144392.212E-09-110.9862861.67783340.0933796157.531666.21183855.237E-100-1.7771771-0.27141170.7860744155.754485.94673392.735E-09114.4940992.21354910.0268598*170.248586.30604382.863E-102-1.6083037-0.24562130.8059754168.640286.07047951.275E-093-12.790728-1.95340910.0507711155.849555.46042814.75E-084-3.5378827-0.5403080.5889847152.311675.20135041.978E-0753.44211350.5256820.5991092155.753785.19071152.095E-076-15.299094-2.33648850.0194658*140.454694.57322784.803E-067-35.797281-5.46698624.578E-08104.657413.33275960.0008599*827.2334614.15911343.195E-05131.890874.11156393.93E-05926.5975454.06199594.865E-05158.488414.84089261.293E-0610-7.987181-1.2198080.2225377150.501234.50766176.555E-0611-8.0410168-1.22802980.2194358142.460214.18706452.826E-051217.4176762.66003980.0078131*159.877894.61431593.944E-061313.4148432.04872430.0404891*173.292734.91449948.901E-0714-17.27846-2.63877870.0083205*156.014274.3501241.361E-0515-0.7116366-0.10868160.913455155.302644.25986582.045E-051/14/202310第26屆中國氣象學(xué)會年會表52008年冰雪災(zāi)害的金融和房地產(chǎn)板塊樣本公司的TAR，CAR統(tǒng)計量及顯著性表

timeTSARTSARZ-statisticTSARp-valueCumulativeTSARCTSARZ-statisticCTSARp-value-156.71359561.66118410.09667656.71359561.66118410.0966765-143.99840680.98934910.322492410.7120021.874210.0609015-132.45649830.60782570.543303113.1685011.88121440.0599428-122.32756070.57592190.56466815.4960611.91714040.0552201-11-1.3809622-0.34169950.73257714.1150991.56192980.1183045-103.11693570.77124160.440563817.2320351.74069840.0817365-99.41182462.32882260.0198685*26.643862.49178580.0127103*-82.94255840.72809440.466555829.5864182.58827240.0096459*-711.3928672.81900340.0048173*40.9792853.37991440.0007251*-6-4.2976187-1.06338490.287607536.6816662.87019650.0041022*-55.2883521.30852780.190694441.9700183.1311610.0017412*-46.02375191.49049210.136094947.993773.42812640.0006078*-3-2.0378861-0.5042460.614088545.9558843.15378460.0016117*-23.69481670.914230.36059649.65073.28340120.0010256*-12.05128460.50756130.61176151.7019853.30311870.0009562*016.6649084.12349523.732E-0568.3668934.22910472.346E-0511.70751590.42250060.672659770.0744084.20530572.607E-052-5.3466101-1.32294290.185854464.7277983.77500190.00016*3-18.047237-4.46553317.987E-0646.6805612.64985340.0080527*4-2.4590634-0.60846040.542882244.2214982.44670180.014417*54.31361511.06734290.28581748.5351132.62064980.0087762*6-11.28033-2.79115780.005252*37.2547831.965320.0493772*7-19.621302-4.85501321.204E-0617.6334810.90978070.362938288.0037851.98042320.047656*25.6372661.29487750.195362591.08005920.26724530.789280326.7173251.32216470.1861133103.69846470.91513270.36012230.415791.47596140.139954211-16.392657-4.05613084.989E-0514.0231