The Research of the Impact of Unconventional Emergencies on the Yield of Stock and Bond Markets

Unconventional emergencies will have an impact on financial markets. Studying on unconventional emergencies’ impact on the financial markets is benefit to improve investors’ risk awareness, and avoid the risks of unconventional emergencies. This paper uses ARIMA model to study the impact of Wenchuan earthquake on the stock market and bond market return. The results show that, because of investors’ “flight-to-quality” behavior, Wenchuan earthquake had a negative impact on China's stock market, while had a positive impact on the bond market. Key words: Unconventional emergencies; stock market; bond market; ARIMA model