【摘要】：為研究地震災難對金融市場的影響,本文以中國汶川地震和日本東大地震為例,以中國和日本債券市場、股票市場及大宗商品市場的74個指數(shù)(包括46個行業(yè)指數(shù)及2個期貨合約)自2002年起至2012年逾10年的對數(shù)收益為研究對象,采用非參數(shù)估計法進行實證研究,這也是國內(nèi)首次將非參數(shù)估計法應用于地震災難對金融市場的影響的研究中,同時,也是首次對債券市場及大宗商品市場進行地震災難的影響研究及中日市場反應的比較研究。實證結(jié)果顯示,地震災難對一國不同市場的影響不同,不同地震災難對一國同一市場的影響也有所不同,同一地震災難對一國同一市場的不同行業(yè)影響也不盡相同,且同一地震災難對一國同一市場的同一行業(yè)在震后不同時間段的影響也會有所變化,此外,通過中日對比,可以發(fā)現(xiàn),處于不同發(fā)達程度的同類市場受到類似地震災難的影響也不相同。而這些不同恰好可以為面臨地震風險的投資者或機構(gòu)搭建起一個跨國別、市場、行業(yè)、時期的風險分散策略。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.5;F833.13

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