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在我国建设高质量资本市场的改革进程中，金融监管起着至关重要的作用。本文基于文本分析的方法构建了中国金融监管不确定性指数，用以度量金融监管机构对金融部门实施监管过程中产生的不确定性。基于2008～2021年A股上市公司数据，本文研究了金融监管不确定性指数与股票市场流动性之间的关系。研究发现，金融监管不确定性降低了股票市场流动性，并且与其他类型的政策不确定性相比，金融监管不确定性对股票市场流动性的影响程度更大。机制分析发现，金融监管不确定性主要通过提高价差中由于投资者信息不对称而导致的逆向选择成本而抑制了股票市场流动性，并且国内机构投资者持股比例显著放大了金融监管不确定性与股票市场流动性之间的负相关关系。进一步研究发现，金融监管不确定显著提高了流动性共性，增强了个股流动性对系统性因素变化的反应。本文的研究结果有较强的政策参考价值，能够为我国金融监管机构和资本市场高质量发展提供有益的借鉴。
Abstract：Financial regulations are essential factor in the process of building high quality capital market in China. With the method of text analysis,this paper constructs the Financial Regulatory Uncertainty Index for China,to measure uncertainty induced by the process that financial sector is regulated by financial regulators. We study the relationship between financial regulatory uncertainty and stock liquidity based on data of all stocks listed on Shanghai and Shenzhen exchange from 2008 to 2021. The results suggest that increased financial regulatory uncertainty decreases stock liquidity and the financial regulation uncertainty has a greater impact on stock liquidity than economic policy uncertainty and other specific policy uncertainty indices. Financial regulatory uncertainty expands the information asymmetry between stock market investors,thereby reducing stock liquidity,besides,domestic institutional ownership strengthens the negative relationship between financial regulatory uncertainty and stock liquidity. Further study shows financial regulatory uncertainty significantly increasing commonality in liquidity,which means financial regulatory uncertainty enhances the influence of systemic factors on changes in stock liquidity. This article has high policy value,which can provide some insights with financial regulators and development of high-quality capital market in China.
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(1)本文将“政策”与“金融监管”两个关键词组合简化成为“金融监管”一个关键词组合，这样得到的金融监管不确定性指数不属于经济政策不确定性指数的子指数。
(2)参考Huang和Luk(2020)，将文章主题与“经济”“金融”相关的文章总数作为分母计算金融监管不确定性指数，以消除非经济金融领域内的文章的影响。
(1)第一组报纸：《证券时报》、《中国经营报》、《广州日报》、《中华工商时报》、《人民日报》（海外版）、《经济参考报》、《上海证券报》、《文汇报》、《北京晚报》、《新闻晨报》；第二组报纸：《新民晚报》、《新快报》、《中国证券报》、《解放日报》、《北京青年报》、《羊城晚报》、《光明日报》、《齐鲁晚报》、《京华时报》、《华西都市报》。
(1)限于篇幅，描述性统计表格留存备索。
(1)限于篇幅，回归结果留存备索。
(1)限于篇幅，稳健性分析的回归结果留存备索。
基本信息:
中图分类号:F832.51;F832.1
引用信息:
[1]姚晓光.中国金融监管不确定性指数构建及其对股票市场流动性的影响[J].金融学季刊,2025,19(01):147-167.
基金信息:
国家自然科学基金面上项目“中国股票市场交易型操纵监测、影响与防范研究———基于分时高频数据云计算的实现”（项目编号：71973070）的资助