经济政策不确定性与金融市场参与——基于基金流量的经验证据

Economic Policy Uncertainty and Financial Market Participation——Empirical Evidence from Mutual Fund Flow Data

本文研究经济政策不确定性对金融市场参与的影响。理论模型表明经济政策不确定性可通过风险和模糊性影响投资者选择。以2004年至2016年股票型基金为研究对象,本文发现经济政策不确定性的上升显著降低基金流量,且具有异质性影响:采用积极投资策略的"积极成长型"等基金受显著负面影响,而寻求稳健收益的"收益型"等基金所受影响不显著;以个人投资者为主的基金所受负面影响显著高于以机构投资者为主的基金。利用股市新增账户数和家庭微观调查数据,本文进一步验证经济政策不确定性的负面影响。因此,政府需关注经济政策不确定性的负面影响,尽可能保持政策稳定性和连续性,以最大化政策实施效果。

The paper studies the impact of economic policy uncertainty on financial market participation. Theoretical results show that economic policy uncertainty could affect investor portfolio decision through risk and ambiguity of financial market. With equity mutual fund flow data from 2004 to 2016, the paper finds that the increase of economic policy uncertainty could significantly decrease mutual fund flow. Furthermore, there are heterogeneous effects of economic policy uncertainty： mutual funds with active investment strategy and high yield target are affected more than those with low-risk and steady revenue; mu- tual funds mainly invested by retail investors suffer more than those mainly invested by institutional investors. With new stock account and household survey data, the paper further shows that economic policy uncertainty has negative impact on investor fi- nancial market participation. As a result, the government should pay more attention to the negative effect of the economic poli- cy uncertainty, and maintain policy stability and sustainability to optimize economic policy effectiveness.