经济政策不确定性与股票收益

Economic Policy Uncertainty and Stock Returns

中国经济政策不确定性一直是备受关注的话题,而经济政策不确定性(EPU)如何影响资产价格亦是学界、业界一直研究的领域。本文利用Baker等(2016)基于新闻报道构造的中国经济政策不确定性指数探究经济政策不确定性是否为中国股票市场的定价因子。我们发现EPU对未来3个月的股票市场收益有显著的正向影响。随后,本文通过剔除一般经济不确定性的冲击,得到EPU的净效应。结果表明EPU对A股股票资产具有显著为正的溢价作用。由此,本文得出结论:经济政策不确定性(EPU)是中国股市一个十分重要的定价因子。(1)

Chinese economic policy uncertainty is always a topic of concern.How economic poticy uncertainty affects the asset prices is also a research area in the academia and the industry. This paper utilizes Chinese Economic Policy Uncertainty Index developed by Baker et al.(2016) based on news reports,to explore whether Economic Policy Uncertainty is a pricing factor for the Chinese stock market.We find that EPU has a significant positive impact on the stock market returns in the next 3months.Subsequently,by eliminating the influence of the general economic uncertainty,the net effect of EPU is finally obtained.The result shows that EPU does earn a significant positive risk premium on the stock prices for the A-Share market.From this,we concIude that Economic Policy Uncertainty (EPU)is a very important pricing factor for the Chinese stock market.