摘要
本文使用沪深上市公司2007—2018年的数据,研究经济政策不确定性对公司股价同步性的影响。我们发现,经济政策不确定性加剧了股价同步性。在经过多种稳健性检验并控制内生性问题之后,这一结论依然成立。另外,机制分析表明,经济政策不确定性通过提高公司盈余管理加剧股价同步性。最后,经济政策不确定性加剧股价同步性的效果在国有企业、媒体报道较少和所在地区制度环境较差的公司中表现得更为明显。本文丰富和扩展了经济政策不确定性经济后果的研究内容,对于缓解股价同步性,提高股票市场信息效率也有重要的政策意义。
This paper explores the impact of economic policy uncertainty on the stock price synchronicity based on a dataset of A-share listed companies in China from 2007 to 2018.The results show that economic policy uncertainty exacerbates stock price synchronicity,and the conclusion is robust after conducting a variety of robustness tests and controlling for endogeneity.Moreover,the mechanism analysis shows that the economic policy uncertainty exacerbates the stock price synchronicity by increasing the company’s earnings management.Finally,the exacerbating effect is more pronounced in state-owned enterprises,companies with lower media coverage,and companies with poor institutional environment.This paper provides a new perspective for understanding of the outcome of economic policy uncertainty,it also has important policy implications for capital market information efficiency.
作者
陈雄兵
苗田田
Chen Xiongbing;Miao Tiantian
出处
《开发性金融研究》
2021年第3期40-55,共16页
Development Finance Research
基金
国家社会科学基金青年项目(17CJY059)的资助
关键词
经济政策不确定性
股价同步性
盈余管理
Economic Policy Uncertainty
Stock Price Synchronicity
Earnings Management
