COVID-19引發金融市場極端事件之成因分析

Abstract

2020上半年，由中國武漢爆發新冠肺炎的疫情，隨後擴散至全球200多個國家，截至2020年6月30日，全球累積案例為1027萬。其中又以美國感染人數居高不下，截至2020年6月30日，累積案例數達263萬，影響著全球經濟前景。綜觀歷史，疫情肆虐之際，也會伴隨金融市場的動盪，但鮮有例子像此次新冠肺炎疫情帶來全球性的衝擊，此次疫情可謂是全球性的極端事件。 本研究回顧極端事件、行為財務學、疫情與金融市場關係的相關文獻，並援引個案研究法、系統思考法進行研究，整理美國與台灣的疫情與金融市場現象，進一步進行個案分析，針對個案市場在疫情期間的變化進行簡介及系統思考的分析，並且透過實體經濟數據驗證，歸納從研究中得出的關鍵變數、三個系統基模以及對應的投資對策。 從個案的實證結果觀察發現，在疫情期間，影響美國股市的變數為「民眾消費」以及「投資人情緒」；影響美國公債價格的變數為「流動性風險」；影響WTI原油期貨市場的變數為「原油需求」、「原油供給」以及「原油期貨價差」；影響台灣股市的變數為「可支配所得」、「產業前景」、「企業價值」以及「投資人情緒」。 在美國各個金融市場極端事件之中，「企業獲利」和「民眾消費」是最源頭的變數，不僅僅是對股票價格造成影響，在原油期貨市場、公債市場都有其間接的影響。 除了變數的探討，本研究利用系統思考中的因果回饋圖進行分析，發現在研究中討論的美國股市、公債市場、原油期貨市場之間，存在著三個系統基模，分別是富者越富、成長上限、轉嫁負擔。

In the first half of 2020, COVID-19 broke out in Wuhan, China, and then spread to more than 200 countries around the world. As of June 30, 2020, the global cumulative number of COVID-19 cases was 10.27 million. Among them, the number of confirmed cases in the United States remains the highest. As of June 30, 2020, the cumulative number of cases reached 2.63 million, affecting the global economy's prospects. Based on historical experience, widespread epidemic is usually accompanied by turmoil in the financial market. However, there are few cases like the coronavirus, which brought about global impact, not to mention such an extreme international event that coronavirus is. In this research, we review related literature on extreme events, behavioral finance, and the relationship between the epidemic and the financial market. Then, we introduce the case study and systems thinking approach. After that, we integrate the epidemic and financial market phenomena in the United States and Taiwan and utilize our research methods to analyze. Finally, we summarize the key variables derived from the research, three systems archetypes of the system thinking, and the corresponding investment strategies. Observations from the empirical results of these cases show that the variables affecting U.S. stock market the most are 'consumption' and 'investor sentiment' during the epidemic. The variable affecting U.S. Treasury bond prices the most is 'liquidity risk'. The variables affecting the WTI crude oil futures market most are 'Crude oil demand,' 'crude oil supply,' and 'crude oil futures spread'. On the other hand, the variables affecting Taiwan stock market the most are 'disposable income,' 'industry prospects,' 'corporate value,' and 'investor sentiment.' Among these financial markets in the United States, “enterprise's profitability” and 'consumption' are the most fundamental factors. They not only affect stock prices but also cause indirect effects on the crude oil futures market and the debt market. In addition to the discussion of variables, this study uses the causal feedback diagram in system thinking to analyze and finds three systems archetypes among the U.S. stock market, public debt market, and crude oil futures market discussed in the study : 'Success to Successful', 'Limit to Growth', and 'Shifting the Burden to the Intervenor.'