Covid-19對亞洲股市之影響

The Impact of the Covid-19 on Asian Stock Markets

本研究的目的在於探討新冠疫情，是否會對亞洲國家的整體股票市場，產生顯著的影響。新冠肺炎的首起確診案例，於 2019 年底在中國武漢發現，隨之迅速地擴散開來，發展成為一個全球性的疫情。作為全球疫情起點的亞洲，亞洲國家的金融市場是否會受到新冠疫情的影響，成為本研究的驗證主題。本研究以亞洲主要八個股價指數為研究標的，就新冠疫情的每日確診案例變動以及每日死亡案例變動作為解釋變數，來檢驗疫情變數是否會顯著的影響亞洲股價指數報酬。為了區隔新冠疫情的長短期效果，與可能的差別反應，本研究分別探討短期 60 天以及長期 20 個月的效果，使用OLS 線性迴歸模型來分別探討短期與長期疫情效果，並且採用 GARCH 模型來對長期疫情效果進行穩健性測試。
主要實證結果顯示，在疫情的初期階段，市場投資人基於對新型冠狀病毒的一無所知與疫情恐慌，短期疫情效果呈現負向反應，大部分的亞洲國家確診案例變動與死亡案例變動均與股價指數報酬呈現負向相關。在歷經兩年的疫情發展後，關於疫情的相關信息愈來愈充分，生活型態的重大改變也促使投資人對產業標的重新選擇，導致長期疫情效果呈現正向反應，大部分的亞洲國家確診案例變動與死亡案例變動均與股價指數報酬呈現正向相關。再者，使用 GARCH 模型對長期疫情效果的穩健性測試，基本上支持亞洲國家長期疫情的正向反應效果。因而，本文實證研究的主要結論，亞洲國家的整體股市對於新冠疫情的反應，存在長短期逆轉的現象，短期的負向反應會在長期轉化為正向效果。

The purpose of this study is to investigate whether the Covid-19 outbreak will have a significant impact on the overall stock market of Asian countries. The first confirmed case of Covid-19 was discovered in Wuhan, China at the end of 2019, and it quickly spread and developed into a global outbreak. In Asia, the starting point of the global epidemic, whether the financial markets of Asian countries will affect by the Covid-19 epidemic becomes the verification theme here. This empirical work uses eight major stock indices in Asia as the testing targets and their daily changes in confirmed cases or their daily deaths of the Covid-19 epidemic as explanatory variable to test whether the epidemic variable will significantly affect the returns of Asian stock indices. In order to distinguish the long-term and short-term effects, existing possible differential responses, of the Covid-19 epidemic, this paper explores the short-term effect on 60 trading days and long-term effect on trading days over 20 months by the OLS linear regression model. Moreover, as a robustness test, we use the GARCH model to analyze the effects of the epidemic in the long-run.
The main empirical results show that in the early stage of the epidemic, the investors had a negative response to the short-term epidemic effect based on their ignorance of the new coronavirus and the panic of the epidemic. In most Asian countries, the changes in confirmed cases and death cases were similar to negatively correlated with equity index return. After the development of the epidemic for two years, the relevant information about the Covid-19 epidemic has become more abundant and the major changes in lifestyles have also prompted investors to rebalance industrial portfolio, resulting in a positive response to the long-term Covid-19 epidemic effect for most Asian countries. Both the changes in confirmed cases and in death cases are positively correlated with the return of the stock price index. Furthermore, the robustness test of the long-term epidemic effect using the GARCH model basically supports the positive response effect on the long-term epidemic in Asian countries. Therefore, the principal conclusion of the empirical research in this paper is that the overall stock market response of Asian countries to the Covid-19 epidemic has a phenomenon of long-term and short-term reversal, and a short-term negative response will turn into a positive effect in the long-term.