Research on the Impact of the COVID-19 on China's Stock and Bond Market:Empirical Analysis based on ARIMA model
The COVID-19 has had a huge impact on the global financial market,and China's stock and bond markets have also been greatly affected.Studying the impact of the COVID-19 on China's stock and bond market can help investors understand market conditions and avoid risks,and it is also of reference significance for the stock and bond markets in other regions.The closing price data of the Shanghai Composite Index and the closing price of the Treasury Bond Index from September 9,2019 to April 1,2020 were selected for analysis,and the data was divided into two time periods:before and after the epidemic with the impact of the COVID-19 on the stock and bond mar-ket.The specific idea is:use the data before the large-scale outbreak of the epidemic to establish the ARIMA model and the Holt two-parameter exponential smoothing prediction model,determine the optimal model as the ARIMA model through comparison,and then use the ARIMA model to make short-term predictions,compare and analyze the predic-ted value and the actual value,and obtain the impact of the COVID-19 on the income of the stock and bond mar-ket.The results show that:①In predicting the returns of the stock market and bond market,the ARIMA model is bet-ter than the Holt two-parameter index smoothing method.②The COVID-19 has a negative effect on the stock market in the short term and a positive effect on the bond market,but over time,the stock market and the bond market will e-ventually tend to a balanced state.
COVID-19Equity and Bond MarketsARIMA ModelHolt Two-parameter Exponential Smoot-hing Method
NETL
NSTL
万方数据
