不确定性下个股风险特征的政策敏感性分析.PDFVIP

不确定性下个股风险特征的政策敏感性分析① 1，2 2 陈国进 ，张润泽 （1 厦门大学王亚南经济研究院，厦门 361005 2 厦门大学经济学院，厦门 361005） 摘要：本文以1999 年至2013 年主板上市公司为样本，运用面板模型、时间序列、门限模型 和虚拟变量等方法全面分析了政策不确定性对个股波动性风险、异质性风险、相关性风险和 尾部风险等特征的影响。研究的结论主要包括以下几点。第一，政策不确定性能够对个股风 险特征产生显著的冲击效应；第二，具有高市值和高账面市值比的个股抵抗政策不确定性风 险的能力较强；第三，在不同外部经济环境下，政策不确定性对个股的相关性风险冲击存在 不对称性，在经济萧条时能够更大幅度地提高个股的相关性风险；第四，在政策不确定性较 高的改革阶段，个股风险特征的政策敏感性也较高。 关键词：政策不确定性；EPU 指标；异质性风险；相关性风险；高阶矩风险 中图分类号：F832.5 文献标识码：A Analysis on the Sensitivity of Stock Risk Characteristics to Policy Uncertainty Shock CHEN Guo-jin ，ZHANG Run-ze （The School of Economics, Xiamen University, Xiamen 361005, China ） Abstract ：This paper examines how economic policy uncertainty affects stock volatility risk, heterogeneity risk, correlation risk and higher moments risk using the panel model, time series analysis, threshold model and dummy variable regression, based on companies of Main Board between 1999 and 2013. The central evidences are as follows. Firstly, economic policy uncertainty generates significant effects on stock risk characteristics. Secondly, companies with higher market value and book-to-market ratio manifest greater capability in shielding against policy uncertainty risk. Thirdly, policy uncertainty shock to correlation exhibits characteristic of asymmetry on different economic conditions, whose magnitude is larger when the economy is weaker. Fourthly, stock risk characteristics exhibit stronger sensitivity when the reforming stage contains more policy uncertainty. Key words：Economic Policy Uncertainty, EPU Index, Heterogeneity Risk, Correlation Risk, Higher Moments Risk 作者简介：陈国进 （1966-），男，经济学（金融学）博士，厦门大学王亚南经济研究院副院长、王亚南经 济研究院 和