政策不确定性、价格时滞与股票收益

Economic Policy Uncertainty,Price delay and Stock Returns

利用1995年7月至2016年6月间中国沪深两市的数据及政策不确定性指数的月度数据,通过FamaMac Beth横截面回归分析考察政策不确定性与股价时滞效应之间的关系。结果表明,总体而言,股价时滞效应在中国股票市场中是存在的。政策不确定性对股价时滞效应有一定的作用,当政策不确定性高的时候,股价时滞效应不显著成立;当政策不确定性低的时候,在一定的显著性水平下股价时滞效应是成立的。

Using the monthly Chinese economic policy uncertaintyindex and the data of Shanghai and Shenzhen stock exchanges,we analysis the relationship between economic policy uncertainty,price delay and stock returns.The results show that price delay can predict stock returns in China.Economic policy uncertainty can affect how price delay predict stock returns.When the economic policy uncertainty index is high,price delay can predict stock returns,and price delay can predict stock returns in certain significance level.