新冠肺炎對美國股市之影響

Abstract

本研究探討美國股票受到新冠肺炎疫情影響的程度，我們選用了標普500股價指數與7個各別股(迪士尼、蘋果、波音、可口可樂、西南航空、亞馬遜和Blink電動車充電站)來作數據分析，以這些股票來推測觀光業、航空業、民生業、科技業所受到衝擊。第一部份根據最近十年的日時間序列(2010年1月到2020年9月)，討論了每個股票的最佳變異數異質性模型(GARCH, GJR-GARCH and E-GARCH)以及三種誤差分配，以捕捉波動群聚性和不對稱的財務時間序列特徵，來推測未來的波動趨勢。第二部份為目標股票的市場模型，以獲得Beta估計值。以標準差來觀察選取的股票，亞馬遜是最穩定的。本文發現到新冠肺炎對科技業的影響相對較小，而對航空業的影響則相對嚴重，我們使用GARCH模型為基底創造市場模型，並以新冠肺炎大流行期間選定股票的Beta值與標普500指數相比，我們得出蘋果與Blink充電站的波動性更高，利潤也更高，即Beta值大於1且夏普值為正。

This research explores how U.S. stocks have been seriously impacted by the COVID-19 pandemic. We select the S&P 500 stock index and seven individual equities (Disney, Apple, Boeing, Coca-Cola, Southwest Airlines, Amazon, and Blink Charging) for data analysis and to examine the epidemic’s influence on tourism, aviation, people’s livelihood, and technology industries. The first part discusses the best fitted GARCH-type model for each stock based on the recent decade of a daily time series (January 2010 to September 2020) and then considers the GARCH model and asymmetric GARCH models with three error distributions to capture volatility clustering and asymmetric characteristics. The second part looks at the market models for the target stocks in order to obtain beta estimates. Findings show that Amazon is the most stable in terms of standard deviation among the selected stocks, and that the impact of the epidemic on the technology industry is relatively small, while the impact on the aviation industry is more serious. We fit the market models with GARCH specification to obtain the betas for selected stocks during the COVID-19 pandemic. Compared to the S&P index, we conclude that Apple and Blink Charging have higher profit, but with higher volatilities - i.e., the beta is greater than 1 with a positive Sharpe ratio.