外部经济政策不确定性、投资者预期与股市跨境资金流动

External Economic Policy Uncertainty,Investor Expectations and Cross-border Capital Flows in the Stock Market

本文基于投资者预期视角,考察了外部经济政策不确定性对中国股市跨境资金流动的影响。理论模型和经验分析表明:外部经济政策不确定性提高会导致中国股市跨境资金显著流出,扩大资本账户开放则有助于缓解股市跨境资金流出。机制检验发现,外部经济政策不确定性并非通过影响中国经济政策不确定性产生上述作用,而是通过改变投资者预期产生作用。同时,在投资者认为抗风险能力强的跨国企业、技术密集型企业以及财务数据波动性低的企业中,经济政策不确定性引起的股市跨境资金流出并不显著。本文对开放进程中提升资本市场活力和增强资本市场韧性具有重要政策含义。

This paper examines the impact of external economic policy uncertainty(EPU)on cross-border capital flows within the Chinese stock market from the perspective of investor expectations.Building a theoretical model and conducting empirical analyses,the paper finds that increased external EPU results in significant outflows of cross-border funds from the Chinese stock market,and that further capital account opening helps reduce such stock market outflows.The mechanism test shows that external EPU does not produce the above effect by affecting China s EPU,but by changing investor expectations.Furthermore,in groups that investors value as highly risk-resistant,such as multinational companies,technology-intensive companies,and companies with low volatility in financial data,cross-border capital outflows from the stock market caused by EPU are not significant.This paper has important policy implications for improving the vitality and resilience of the capital market during China s opening up process.