摘要
本文旨在评估金融市场对重大突发公共卫生事件的反应,尤其是上市公司所在地的公共治理能力是否会影响上市公司股票收益率。其中,城市公共治理能力以基于实时数据计算的防疫能力和复工复产能力指标来刻画。主要发现如下:第一,防疫能力会影响投资者情绪,但不会直接影响股票收益率;第二,所在地复工复产能力对股票收益率存在正向影响;第三,机制分析表明,经营基本面更容易受疫情影响的企业,如小企业、成长型企业、所在地数字金融基础设施较差的企业,其股票收益率对当地复工复产能力的反应更敏感。本文结论表明,在全国一盘棋的抗疫努力下,投资者对于战胜疫情有信心,短期内复工复产能力对金融市场更重要。从应对措施来看,短期内可对比较脆弱的企业实施精准果断的帮扶,长期内可考虑加强地区防疫能力建设和数字基础设施建设。
How financial markets react to public health shocks as dramatic as a global pandemic is an important issue for the well-being of investors and even for the financial stability of a country. The COVID-19 global pandemic that began at the end of 2019 provides an opportunity to examine such reactions. In addition to the significant social changes brought by COVID-19,the normal operation and development of firms has been put under pressure in terms of the dilemma between "fighting the epidemic" and "work resumption." In this study, we examine the relationship between the capabilities of urban public governance, investor sentiment, and stock price in the context of the COVID-19 outbreak, and address two main issues. The first issue is whether important information related to the outbreak, such as urban public governance capacity, can be perceived by retail investors during an outbreak. The second issue is whether the information above will be priced by the stock market.We examine the impact of urban public governance capacity on the stock market through investigating the effectiveness of epidemic prevention measures and the resumption of work. The ability to publicly govern in the urban context can affect stock returns by influencing investor sentiment and corporate fundamentals. If a listed firm is located in a region where there is effective epidemic prevention, the anxiety of its investors is likely to be alleviated. The noise trading theory(De Long et al., 1990) suggests that pessimistic investor sentiment will lead to low stock returns in the future. However, in terms of a firm’s operation fundamentals, the ability to ensure work resumption directly determines how quickly a firm can restore its normal operations, which in turn affects the stock return. This effect will be stronger for small-and medium-sized and growth-type firms, which are more vulnerable, and for those situated in areas with poor digital financial infrastructure.We first collect data from several channels to measure investor sentiment, regional epidemic prevention ability, and capacity for work resumption during the COVID-19 outbreak. Investor sentiment is then measured by examining the text of around 2.6 million Internet forum posts, and regional epidemic prevention ability using real-time data of the number of hospital buildings per capita, obtained from AutoNavi Map. We measure the capacity for work resumption using real-time data of the movement of the population in and out of each location examined, which is obtained from the Baidu Migration Index.To assess the sensitivity of investors to information about public governance capacity, we estimate whether the capacity of a region in which a listed company is located can predict investor sentiment. Finally, we estimate the impact of investor sentiment and the ability for epidemic prevention and work to resume on stock returns during the first week after the Spring Festival. Additional analyses of the mechanisms are conducted by examining the dimensions of firm size, firm type(growth-type or value-type), and the strength of the local digital infrastructure.Our main findings are as follows. First, investor sentiment is affected by a region’s ability to prevent epidemics but is not sensitive to a region’s ability of work resumption. Second, during the epidemic higher levels of investor sentiment and a greater ability to ensure work resumes both predict higher stock returns. However, regional epidemic prevention ability has no significant effect on firms’ stock returns. Third, the effect of the ability of work resumption on stock returns is greater for small firms, growth-type firms, and those with poor digital financial infrastructure.Our study makes three main contributions to the literature. First, we are probably the first to examine the relationship between urban public governance capacity and the reactions of the Chinese stock market during the COVID-19 outbreak. Second, we directly test whether investors can evaluate the capacity of urban public governance during major public events. Third, most studies on the impact of digital finance on the economy and investment focus on non-disaster periods. Our study extends this research by examining the role of digital finance during a disaster period. Our findings suggest that digital finance has a stabilizing role and we highlight the importance of its further development.
作者
陈赟
沈艳
王靖一
CHEN Yun;SHEN Yan;WANG Jingyi(School of Banking and Finance,University of International Business and Economics;National School of Development,Peking University;School of Finance,Central University of Finance and Economics)
出处
《金融研究》
CSSCI
北大核心
2020年第6期20-39,共20页
Journal of Financial Research
基金
国家社会科学基金重大项目“数字普惠金融的创新、风险与监管”部分研究成果,项目编号18ZDA091,2018-2020。
关键词
突发公共卫生事件
城市公共治理能力
防疫能力
复工复产
Public Health Emergency
Urban Public Governance Capacity
Epidemic Prevention Ability
Work Resumption
