关税政策预期和实施对股市波动的影响:基于中美贸易摩擦的准自然实验研究

The Impact of Tariffs Policy Expectation and Implementation on Stock Market Volatility Friction:A Quasi-natural Experiment Based on Sino-US Trade

文章利用中美第一轮贸易摩擦提供的自然实验条件,通过拓展的双重差分法分别研究了美国关税政策预期和实施对中国个股波动率的影响。研究结果表明:在预期和实际都被加征关税的上市公司之中,关税政策实施会立即加剧这些公司股票的波动率,但这种影响持续时间较短;对于预期不被加征但实际被加征关税的公司而言,关税政策实施对这些公司股票的影响存在一定时滞;在美国公布正式关税政策之前,预期被加征关税个股的波动率在重要贸易摩擦信息公布日附近显著增加;在美国正式关税清单公布后,预期被加征关税个股面对的不确定性降低,从而相对减缓了该类个股的波动率。文章的研究有助于政府和投资者理解关税政策预期和实施对股市的作用机理,也为相关部门评估中美贸易摩擦对中国金融市场的影响及制定相关政策提供了实证依据与参考。

Using the natural experimental conditions provided by the first round of trade friction between China and the United States, we studied the impact of the expectation and implementation of the US tariff policy on the volatility of Chinese individual stocks through the extended difference-in-difference model. Our research results show that, firstly, among those companies that are expected to be and actually are subject to tariffs, the implementation of the US tariff policy will immediately increase their stock volatility, but this effect lasts for a short time.Secondly, for companies that are not expected to be but actually are subject to tariffs, there is a certain time lag in the impact of tariff policy implementation on their stock volatility. Thirdly, prior to the release of the official US tariff policy, the stock volatility of those companies that expect to be subject to the tariff increases significantly around the dates of the release of important trade friction information. After the release of the official tariff list, the stock of the companies expected to be subject to tariffs will face less uncertainty, thus relatively slowing down the volatility of such stocks. The research in this paper can help the government and investors to understand the mechanism of tariff policy′s expectation and implementation on the stock market, and also provide an empirical basis for relevant departments to evaluate the impact on China′s financial market caused by trade friction between China and the United States, and to formulate relevant policies.