A Study of Emergency on Stock Market Based on Web Search Data Evidence from Yongwen Railway Accident

It is apparent that most of emergencies result in serious losses of related enterprises,industry outlook,as well as national macroeconomic,which would be reflected as price fluctuation of enterprises' stock.With the development of technology,search engine has become a kin of popular information source for people to obtain various information.The web search data would reflects the trends of investors' behavior and contains hundreds of millions of searchers' concerns and interests on the emergencies and the demand for stocks trading. Therefore,we propose the idea of applying web search data to study the fluctuation of stock market caused by major emergencies.Firstly,a systematic theoretical framework has been built to reveal the correlation between web search and major emergency.Secondly,at the theoretical framework' basis,this paper analyzes the impact strength and impact period on stock market brought by major emergency through using web search data.Furthermore,we conduct an empirical study on 723 YongWen Railway Accident to verify the relationship.The results show that goodness of fit reaches 0.888 by adding the web search index variable into the model,and confirm web search data would accurately and timely characterize the impact of the railway accident on the stock market fluctuation.Finally,based on GARCH model,we study the impact period of railway accident on the stock market,which is about two months.