Effects of climatic events on the Chinese stock market: applying event analysis
- 331 Downloads
Unexpected events occur and influence both enterprises and investors. Based on event analysis, this study investigates the effects of unexpected climatic events that have occurred in the country and abroad on the Chinese stock market. The sample includes 21 indices according to industry from the Shenzhen Stock Exchange in China. The effects of climatic events that occurred in China and the USA on the Chinese stock market are compared. Results show that meteorological disasters (i.e., the snow storm in 2008 and strong tropical storm in 2011 in China, as well as the hurricane in 2005 and the snow storm in 2006 in the USA) have significant effects on the Chinese stock market. Moreover, the influences of these disasters on the Chinese stock market are different. The unexpected domestic climatic events have a greater effect on the volatility of the Chinese stock market than those that occurred in the USA. The same climatic event can have different effects on various industries, whereas different climatic events can have different effects on the same industry in China. Moreover, the manner in which these events influence industries may change in the future. We find that the magnitude of the effect on each industry depends on the sensitivity of the industries to the unexpected climatic events. Finally, several reasonable recommendations are proposed.
KeywordsClimatic events Event analysis Stock market volatility Disaster
We thank for the financial support from National Natural Science Foundation of China (Nos. 71371100, 71271118, 70901044) and the Humanities and Social Sciences Fund sponsored by the Ministry of Education of the People’s Republic of China (No. 13YJCZH007). This work also sponsored by Qing Lan Project of Jiangsu Province (2014), Program for Innovative Research Team of Shanghai University of Finance and Economics, and a Project Funded by the Priority Academic Program Development of Jiangsu Higher Education Institutions.
- Ball R, Brown P (1968) An empirical evaluation of accounting numbers. http://www.jstor.org/stable/2490232. Last visited 27 May 2014
- Dolley JC (1933) Characteristics and procedure of common stock split-ups. Harvard Bus Rev 11:316–326Google Scholar
- Fama EF, Fisher L, Jensen MC, Roll R (1969) The adjustment of stock prices to new information. http://www.jstor.org/stable/2525569. Last visited 27 May 2014
- Liu J, Xu XF, Luo H (2010) Econometric analysis of meteorological conditions on the economic output of agriculture. Meteorology 36:46–51 (in Chinese)Google Scholar
- MacKinlay AC (1997) Event studies in economics and finance. http://www.jstor.org/stable/2729691. Last visited 15 April 2014
- Sun D (2012) Comparative study on the influence of earthquake disaster on financial markets. Fudan University, Shanghai (in Chinese)Google Scholar