经济政策不确定性暴露与股票流动性黑洞

Study on Relation between Economic Policy Uncertainty Exposure and Stock Liquidity Black Hole

严重的流动性黑洞易引发金融市场流动性危机。基于沪深A股市场的面板数据,从经济政策不确定性的视角出发,探究个股经济政策不确定性暴露与流动性黑洞的关系。实证结果表明:个股对经济政策不确定性的暴露程度越高,股票流动性黑洞的强度越大,并且投资者结构是影响二者关系的重要因素。此外,经济政策不确定性暴露对流动性黑洞存在非对称影响。因此,降低经济政策不确定性、改善投资者结构有利于维护股票市场稳定。

Serious liquidity black holes are prone to liquidity crisis in financial markets.Based on the panel data of the Shanghai and Shenzhen A-share markets,from the perspective of economic policy uncertainty,the relationship between individual stocks exposure of economic policy uncertainty and liquidity black holes is explored.The empirical results show that the higher the degree of individual stocks exposure of economic policy uncertainty,the greater the strength of liquidity black hole.The investor structure is an important factor affecting the relationship between these two.In addition,the exposure of economic policy uncertainty has an asymmetric effect on liquidity black holes.Therefore,reducing the economic policy uncertainty and improving the structure of investors are conducive to maintaining the stability of the stock market.