经济政策不确定性与股价波动性的关系研究摘要我国股市在30多年的发展历程中取得了较大进步，在逐渐形成具有本国特色的股市环境的同时，也发挥着对金融市场各类资源优化配置的重要作用。在不同阶段下，中国政府会根据市场发展需要实施不同的经济政策来稳定我国经济的发展，这种情况下，经济政策的变动即经济政策变化的不确定性加大，该类变化能够对整个股票市场发挥重要作用，由此而言，针对政策变化同股市股价波动性之间的关系进行分析，有利于我国股市的正常运行，对与经济政策的制定也会有一定的参考意义。在数据的选取上，本文选取了经济政策不确定性指数以及具有代表性的沪深300指数作为研究对象，考虑到指数的发布时间，选取了2006年1月至2020年12月作为样本区间进行分析，以此通过统计数据关系弄清政策变化同股票股价变动之间的关联性，特别选用时间序列关联性模型（VAR模型）对二者的关系进行计量分析。研究发现，沪深300指数对经济政策不确定性存在着反向推动作用，说明我国存在一定程度的股市变动倒逼政策的现象。而股价波动性也只是在短期内受到经济政策不确定性的影响，长期的影响甚微。本文最后，对政策的制定者、监管者以及投资分别提出相应的建议，即政策制定者在制定经济政策时要充分考虑政策的可实施性；监管者应该配合前者完善市场监管；投资者不要盲目从众，要有自己的投资观念，理性决策。关键词：经济政策；不确定性；沪深300指数；股票市场；VAR模型。StudyontherelationshipbetweeneconomicpolicyuncertaintyandstockpricevolatilityAbstractChina'sstockmarkethasmadegreatprogressinmorethan30yearsofdevelopment.Whilegraduallyformingastockmarketenvironmentwithitsowncharacteristics,italsoplaysanimportantroleinoptimizingtheallocationofvariousresourcesinthefinancialmarket.Indifferentstages,theChinesegovernmentwillimplementdifferenteconomicpoliciesaccordingtotheneedsofmarketdevelopmenttostabilizeChina'seconomicdevelopment.Inthiscase,thechangeofeconomicpolicy,thatis,theuncertaintyofthechangeofeconomicpolicyincreases,whichcanplayanimportantroleinthewholestockmarket,ItisconducivetothenormaloperationofChina'sstockmarket,andalsohascertainreferencesignificancefortheformulationofeconomicpolicies.Intermsofdataselection,thispaperselectstheeconomicpolicyuncertaintyindexandtherepresentativeCSI300indexastheresearchobjects.Consideringthereleasetimeoftheindex,thispaperselectsJanuary2006toDecember2020asthesampleintervalforanalysis,soastoclarifythecorrelationbetweenpolicychangesandstockpricechangesthroughstatisticaldatarelationship,Inparticular,thetimeseriescorrelationmodel(VARmodel)isselectedtoanalyzetherelationshipbetweenthem.TheresearchfindsthattheCSI300indexhasanegativeeffectontheeconomicpolicyuncertainty,whichindicatesthatthestockmarketfluctuationsinChinatoacertainextentforcethepolicyphenomenon.Andstockpricevolatilityisonlyaffectedbyeconomicpolicyuncertaintyintheshortrun,withlittlelong-termimpact.Attheendofthispaper,correspondingsuggestionsareputforwardforpolicymakers,regulatorsandinvestmentrespectively,thatis,policymakersshouldfullyconsidertheavailabilityofpolicieswhenmakingeconomicpolicies;Regulatorsshouldcooperatewiththeformertoimprovemarketsupervision;Investorsshouldnotblindlyfollowthecrowd.Theyshouldhavetheirowninvestmentconceptsandmakerationaldecisions.Keywords:Economicpolicy;Uncertainty;CSI300Index;Thestockmarket;TheVARmodel.目录1.绪论...................................................11.1研究背景和研究意义..............................................11.1.1研究背景......................................................11.1.2研究意义.............................................
