经济政策不确定性会影响股票流动性吗?——基于中国上市公司的经验证据

Does Economic Policy Uncertainty Affect Stock Liquidity?—Based on the Evidence from Chinese Listed Companies

以2007-2017年中国A股上市公司为研究对象,考察经济政策不确定性对股票流动性的影响。实证结果表明,经济政策不确定性的提高会导致股票流动性下降,分析师跟踪会对经济政策不确定性和股票流动性产生影响,能有效抑制经济政策不确定性所带来的股票流动性的下降。进一步研究发现,相较于机构投资者持股比例高的企业,机构投资者持股比例低的企业分析师跟踪对经济政策不确定性与股票流动性的正向调节作用更显著。研究一方面丰富了经济政策不确定性和股票流动性的研究文献;另一方面为如何提高股票流动性也提供了一定的理论依据和经验证据。

Using the data of A-share listed companies from 2007 to 2017,this paper investigates how economic policy uncertainty affects stock liquidity.The empirical results show that the increase of economic policy uncertainty will lead to the decline of stock liquidity,and analyst tracking will have an impact on economic policy uncertainty and stock liquidity,which can effectively restrain the decline of stock liquidity caused by economic policy uncertainty.Further research shows that compared with the enterprises with high institutional investors,the positive moderating effect of analyst tracking on economic policy uncertainty and stock liquidity is more significant.On the one hand,this paper enriches the research literature on economic policy uncertainty and stock liquidity,and on the other hand,it also provides a theoretical basis and empirical evidence for how to improve stock liquidity.