经济政策不确定性如何影响股价同步性?--基于有限关注视角  

Economic Policy Uncertainty and Stock Price Synchronicity:From the Limited Attention Perspective

作　　者：王晓宇 杨云红[1] Wang Xiaoyu;Yang Yunhong(Guanghua School of Management,Peking University)

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《经济科学》2021年第5期99-113,共15页Economic Science

摘　　要：金融市场的基本功能之一是信息的产生和传递。随着我国经济增长进入新的发展阶段,经济政策不确定性对金融市场的这一功能产生了影响。本文通过对我国不同时期的经济政策不确定性程度与股价同步性的分析,发现经济政策不确定性的上升会提高股价同步性,降低市场信息效率。进一步的分析表明,由于对信息的有限关注,投资者对不同层面信息的关注再分配导致了股价同步性的变化。此外,投资者关注的变化导致股价外部信息含量的减少,抑制了股价对企业投资的反馈作用。本文对于理解宏观层面的经济政策不确定性与微观层面投资者行为的联系及其对股市信息效率的影响有一定意义。Regarding the financial market,one of its fundamental functions is the production and transmission of information.As Chinese economy enters a new stage of development,the impact of economic policy uncertainty on the financial market has attracted great attention.This paper studies the influence of economic policy uncertainty on stock price synchronicity in China's A-share market,and finds that the increase of economic policy uncertainty leads to higher syn-chronicity,which means for less idiosyncratic movement of stock return,as well as lower market information efficiency.Further analysis indicates that under limited attention,investors allocate more attention to market and industry information during high-EPU period,leading to higher stock price synchronicity.This also reduces the information produced by outsiders,making firms react less to stock price.This paper has implications for understanding the link between macrolevel economic policy uncertainty and micro-level investor behavior,as well as its impact on the information efficiency of stock market.

关 键 词：经济政策不确定性 股价同步性 投资者关注 信息效率 

分 类 号：F830.91[经济管理—金融学]