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近年来,我国股票市场波动性显著加大。本文基于1995—2016年我国股票市场波动率和个股波动率的月度数据,首先从宏观层面构建门限VAR模型捕捉经济政策不确定性对于市场波动率的非线性冲击,进一步基于微观企业角度分析经济政策不确定性对于个股波动率的影响。研究表明,经济政策不确定性上升不仅会明显加大股票市场波动率,而且会使个股波动率提高,因为投资者对公司基本面的意见分歧加大,同时市场悲观情绪增加。经济政策不确定性指数每上升一单位,个股波动率平均增加0.37%。随着经济政策不确定性上升和市场波动率加大,经济政策不确定性指数对于股市波动率的冲击会显著放大,表现出明显的非线性。我国政府在制定政策时应充分考虑到经济政策不确定性的影响,以避免金融市场波动。
Abstract：In recent years,the volatility of stock market in China has increased significantly. By using the monthly data of stock volatility from 1995 to 2016,this paper first captures the nonlinear impact of economic policy uncertainty(EPU) on stock market volatility with the threshold VAR model from macro level. It further analyzes the influence of EPU on volatility of individual stocks. The empirical results show that:(1) the increase of EPU not only amplifies the market volatility,but also spills over to the volatility of individual stocks through magnifying the information disagreement of company fundamentals and the pessimistic sentiment of investors;(2) one unit of EPU increase will lead to an average increase of stock volatility by 0. 37%;(3) with the increase of EPU or market volatility,the impact of EPU on stock market volatility will be enlarged,showing distinct nonlinearity. This paper implies that the government should take the possible influence of economic policy on capital markets into consideration to avoid fluctuation.
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(1)我们也参照张浩等(2015),进一步采用LSTVAR模型进行了稳健性检验,得出的结论与TVAR模型基本保持一致。
(1)根据Hansen(1999),采用自助法(bootstrap)模拟500次得到F检验统计量,同时我们也进行了双门限的面板门限模型检验,发现第二个门限值并不显著,因此采用单一门限值。
基本信息:
DOI：
中图分类号:F832.51;F124
引用信息:
[1]李力,宫蕾,王博.经济政策不确定性冲击与股市波动率——来自宏观与微观两个层面的经验证据[J].金融学季刊,2018,12(04):94-126.
基金信息:
国家社科基金重大项目(17ZDA074);; 教育部人文社科规划基金(16YJA790047)