An Impact Analysis of Emergency Event on Stock Market Based on Web Search Data: A Case from 723 Yongwen Railway Accident

The occurrence of major emergencies would have a certain impact on the production of related enterprises, industry outlook, even on national macroeconomic situation. The impact is presented as price fluctuation of event-related enterprises´ stock. Fortunately, the web search data reflects the trends of investors´ behavior and contains hundreds of millions of searchers´ concerns and interests on the emergencies and the demand for stocks trading. Therefore, we propose the idea of applying web search data to study the fluctuation of stock market caused by major emergencies. Firstly, a systematic theoretical framework has been built to reveal the correlation between web search and major emergency. Secondly, at the theoretical framework basis, this paper analyzes the impact strength and impact period on stock market brought by major emergency through using web search data. Furthermore, we take 723 Yong Wen EMU (Electric Multiple Units) Accident as a typical research object to verify the relationship. The results show that goodness of fit reaches 0.888 by adding the web search index variable into the model, and confirm that web search data would accurately and timely characterize the impact of the EMU accident on the stock market fluctuation. Finally, based on GARCH model, we study the impact period of EMU accident on the stock market, which is about two months.