基于事件研究法的中兴与华为事件对通信行业影响研究

THE IMPACT OF ZTE AND HUAWEI EVENTS ON THE COMMUNICATION INDUSTRY : RESAERCH BASED ON EVENT STUDY METHOD

杨兴泉

11849198

硕士

金融

严硕

2020-05-28

2020-06-30

哈尔滨工业大学

深圳

自唐纳德·特朗普当选美国总统以来，贸易保护主义滋生使得中美双边贸易摩擦不断升级。在此背景下，全球通信行业龙头企业中兴通讯与华为受到美国的贸易制裁黑天鹅事件，引发市场热议。本文运用事件研究法对中兴事件与华为事件对通信行业市场造成的外生冲击影响做定量实证分析。通过对比市场模型与Fama-French三因子模型在事件研究法中的结果，研究发现：中兴事件与华为事件的发生给通信设备行业带来了短暂的负面冲击；流通市值不同的股票在事件中的反应速度不一，高流通市值股反应快于低流通市值，但事件实际造成的累计收益影响却差别不大；中兴事件带来的负面投资者情绪在国产芯片股票却带来了显著为正的异常收益率，而华为事件给5G概念股票的影响是仅在事发当天为负，后续持续几天正向影响。由于华为事件发生在中兴事件之后，在华为事件的窗口期内发现仅在事发当天对通信行业和其供应商股票造成显著为负的异常收益，市场消化同类型事件信息的速度得到提高。

The propagation of Trade Protectionism has exacerbated the bilateral trade frictions between the United States and China since Donald Trump won the election. In this case, as the world's leading communications industry leaders, ZTE and Huawei have been subject to US trade sanctions, which can be characterized as the Black Swan incident, became a hotly debated.In this paper, we use the event study methodology for the quantitative analysis of exogenous effects of ZTE and Huawei events on the market of the communication industry. By Comparing the results of the market model with the three-factor model of the Fama-French, found that: ZTE and Huawei event brought a short negative impact to the communications equipment industry; high-traded market-cap stocks response quicker than low circulation market value, but the actual impact of the event on the abnormal cumulative return is little difference; Instead, the negative investor sentiment in ZTE event led a significantly positive abnormal return on domestic chip stocks; the effect of Huawei on 5G related stock is distinctly negative on event day while the follow-up lasting impact is significantly positive. The market's ability to digest information about the same type of events has increased as the Huawei event occurred after the ZTE event. And Huawei event was found to have caused a significantly negative returns to the communications industry and its suppliers only on the day occurred.

中美贸易摩擦 中兴事件 事件研究 Fama-French三因子

China-US trade war ZTE event event study fama-french three factor

中文

联合培养

南方科技大学

杨兴泉. 基于事件研究法的中兴与华为事件对通信行业影响研究[D]. 深圳. 哈尔滨工业大学,2020.