政策风险指数与中国股市波动

The Policy Risk Index and the Volatility of Chinese Stock Market

本文利用财经报纸上与股市政策风险相关的文章报道频度,构建政策风险指数以用于度量股市中由监管政策引致的风险或不确定性。基于政策风险指数的实证研究结果表明,政策风险指数与中国股市波动性之间存在着显著的正向关联,这种影响在牛市阶段明显大于熊市阶段。用EPU指数衡量的中国宏观经济政策不确定性对股市波动性没有显著影响。

Based on the frequency of articles related to the risks of stock market policies in financial newspapers, the authors of this paper construct policy risk indexes to measure the risks or uncertainty of the stock markets caused by regulatory policies. The empirical analysis based on the policy risk indexes shows that there is a significant positive correlation between the policy risk indexes and the volatility of the Chinese stock markets, and the correlation is obviously greater during bull markets than that during bear market. China＇s macroeconomic policy uncertainty measured by the EPU index has no significant impact on the volatility of stock markets.