DocumentCode :
2605317
Title :
The impact of the May 12 Wenchuan earthquake on China´s stock market — As an example to the Chenyu price index of China
Author :
Xin-li, Guo
Author_Institution :
Sch. of Manage., Heilongjiang Univ., Harbin, China
fYear :
2010
fDate :
24-26 Nov. 2010
Firstpage :
1365
Lastpage :
1372
Abstract :
In addition to macroeconomic effects, the stock market conditions also closely relates to a number of unexpected events. The taken place of Wenchuan earthquake on May 12th, 2008, had short-term effects on the stock market, some experienced suspension, but some experienced soaring. 66 listed companies from Sichuan and Chongqing had experienced suspension from 13th of May, due to the earthquake. 45 Shanghai-listed companies from Sichuan and Chongqing suspended; On 14th of May, medicine, agriculture and cement industry stocks rose drastically, there are more than 40 pharmaceutical industry stocks raising more than 10% in the two stock markets. By the GARCH model, this paper analyzes the long-term effects of the earthquake. The results show that the earthquake does not change the general trend of Chinese stock market, except the influencing time is short, and the duration of fluctuating is not long. Thus, long-term impact of the earthquake on Chinese stock market is limited.
Keywords :
autoregressive processes; earthquakes; economic indicators; macroeconomics; stock markets; AD 2008 05 12; Chenyu price index; China stock market; Chongqing; GARCH model; Shanghai listed companies; Sichuan; Wenchuan earthquake; agricultural industry stock; cement industry stock; long-term earthquake effects; macroeconomic effects; pharmaceutical industry stocks; Biological system modeling; Companies; Earthquakes; Indexes; Production; Stock markets; Chenyu Price Index; GARCH model; Wenchuan earthquake; the stock marketing;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Management Science and Engineering (ICMSE), 2010 International Conference on
Conference_Location :
Melbourne, VIC
ISSN :
2155-1847
Print_ISBN :
978-1-4244-8116-3
Type :
conf
DOI :
10.1109/ICMSE.2010.5719970
Filename :
5719970
Link To Document :
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