经济政策不确定性和股价崩盘风险

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

Asia-Pacific Journal of Accounting & Economics Pub Date : 2021-12-20 DOI:10.1080/16081625.2021.2007407

Yong Du, X. Sui, Wei Wei, Jun Du

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引用次数: 0

摘要

本文采用Baker等人(2016)构建的中国经济政策不确定性指数(EPU)来探讨EPU与股价崩盘风险之间的关系。我们发现EPU的增加会显著增加股价崩盘的风险。通过对二者关系的机理分析，我们发现经济政策主要通过影响信息不对称来影响股价崩盘风险。具体而言，小企业、非国有企业以及经济发达和市场化程度高的地区的企业对EPU更敏感，在股价崩盘风险方面受EPU的影响更大。我们还从政府和企业的角度提出了政策启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Economic policy uncertainty and stock price crash risk

ABSTRACT We use the China’s economic policy uncertainty (EPU) index constructed by Baker et al. (2016)to explore the relationship between EPU and stock price crash risk. We find that the increasing of EPU will significantly increase stock price crash risk. After analyzing the mechanism of the relationship between them, we find that economic policy affects stock price crash risk mainly by influencing information asymmetry. More specifically, small enterprises, non-state-owned enterprises, and enterprises in regions with developed economies and high levels of marketization are more sensitive to EPU and are more affected by EPU in terms of stock price crash risk. We also put forward policy implications from both the government and business perspectives.

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来源期刊

Asia-Pacific Journal of Accounting & Economics Multiple-

CiteScore

2.40

自引率

9.10%

发文量

期刊介绍： The Asia-Pacific Journal of Accounting & Economics (APJAE) is an international forum intended for theoretical and empirical research in all areas of economics and accounting in general. In particular, the journal encourages submissions in the following areas: Auditing, financial reporting, earnings management, financial analysts, the role of accounting information, international trade and finance, industrial organization, strategic behavior, market structure, financial contracts, corporate governance, capital markets, and financial institutions. The journal welcomes contributions related to the Asia Pacific region, and targets top quality research from scholars with diverse regional interests. The editors encourage submission of high quality manuscripts with innovative ideas. The editorial team is committed to an expedient review process.