产业政策对股票特质波动率的影响及机制研究

The Impact of Industrial Policy on Idiosyncratic Volatility of Stock Price and the Mechanism

本文考察了宏观产业政策对重点发展行业股票特质波动率的影响及其作用机制。首先根据非参数方法提取不同行业公司股票的特质波动率,然后根据中国五年规划所包含的重点发展行业,分析了产业政策对重点发展行业股票特质波动率的影响,并使用中介效应模型检验了产品市场竞争程度、经营环境不确定性和会计信息披露质量的中介作用。研究表明,产业政策会通过加剧重点发展行业内产品市场的竞争程度、增加行业内经营环境的不确定性以及降低会计信息披露质量三条路径来提高重点发展行业的股票特质波动率。为降低内生性问题,采用倾向得分匹配等方法后,仍然发现产业政策可以增加重点发展行业的股票特质波动率。进一步考察规模异质性、产权异质性和区域异质性后,本文发现产业政策对股票特质波动率的增加作用在中小企业、东部地区更加明显,但在国有企业和民营企业中无明显差别。

As one of the factors of low-risk anomalies,idiosyncratic volatility has been discussed in finance research for a long time.The literature about the determinants of idiosyncratic volatility has always been focused on the micro-level,like size,liquidity,and cash flow.However,in the Chinese stock market,idiosyncratic volatility is affected by both micro and macro factors.As an important part of China’s“Five-Year Plan”,industrial policy is always issued regularly.Existing literature has found that industrial policy will affect the micro behaviors of the listed firms,which may lead to the increase of idiosyncratic volatility of these firms.The influence of industrial policies on the idiosyncratic volatility of key-developed industries and its mechanism is studied in this paper.Specifically,the product market competition,the uncertainty of the business environment,and the quality of accounting information are selected to be the mediating variable to study the influencing mechanism.Before the empirical analysis,the main variables for this paper are constructed as follows:Firstly,the nonparametric method is used to extract the idiosyncratic volatility of the company in its industries(FIRM),then industries with keywords such as“vigorously”,“first”and“pillar”in China’s five-year plan are selected to be the key-developed industries(VIP).The other variables are collected from CSMAR and RESSET databases.Our empirical analysis uses mixed OLS to analyze the influence of industrial policies on the idiosyncratic volatility of key-developed industries during the full period sample and each five-year plan period sample and their influencing mechanism.The empirical results show that industrial policies improve the idiosyncratic volatility of key-developed industries by intensifying the degree of product market competition,increasing the uncertainty of the business environment,and reducing the quality of accounting information disclosure.To test the robustness of the results,alternative idiosyncratic volatility specifications are used.Then,PSM is used to mitigate the endogenous problem of the samples.The robustness results show that industrial policies increase the idiosyncratic volatility of key-developed industries.Last,the heterogeneity of the main results is studied.The samples are divided by property,nature,region,and company asset.The results show that the effect of industrial policy on the increase of idiosyncratic volatility is more evident in eastern regions,and there is no significant difference between state-owned and non-state-owned enterprises.The influence of industrial policy on idiosyncratic volatility and its mechanism are analyzed,connecting the relationship between macro and micro factors and providing a new perspective on the determinants of idiosyncratic volatility.Moreover,the results discuss separated industrial policy in each Five-Year Plan and the enterprise’s reflection on industrial policy,providing a valuable reference for Five-Year Plan formulation,especially industrial policy.