产业政策对股票特质波动率的影响及机制研究

doi:10.16381/j.cnki.issn1003-207x.2020.1183

摘要/Abstract

摘要： 本文考察了宏观产业政策对重点发展行业股票特质波动率的影响及其作用机制。首先根据非参数方法提取不同行业公司股票的特质波动率，然后根据中国五年规划所包含的重点发展行业，分析了产业政策对重点发展行业股票特质波动率的影响，并使用中介效应模型检验了产品市场竞争程度、经营环境不确定性和会计信息披露质量的中介作用。研究表明，产业政策会通过加剧重点发展行业内产品市场的竞争程度、增加行业内经营环境的不确定性以及降低会计信息披露质量三条路径来提高重点发展行业的股票特质波动率。为降低内生性问题，采用倾向得分匹配等方法后，仍然发现产业政策可以增加重点发展行业的股票特质波动率。进一步考察规模异质性、产权异质性和区域异质性后，本文发现产业政策对股票特质波动率的增加作用在中小企业、东部地区更加明显，但在国有企业和民营企业中无明显差别。

关键词: 产业政策；特质波动率；产品市场竞争；经营环境不确定性；会计信息披露质量

Abstract: As one of the factors of low-risk anomalies, idiosyncratic volatility has been discussed in finance research for a long time. The literature about the determinants of idiosyncratic volatility has always been focused on the micro-level, like size, liquidity, and cash flow. However, in the Chinese stock market, idiosyncratic volatility is affected by both micro and macro factors.

Key words: industrial policy; idiosyncratic volatility; product market competition; business environment uncertainty; quality of accounting information disclosure

中图分类号:

F832
F211

陆静, 喻浩. 产业政策对股票特质波动率的影响及机制研究[J]. 中国管理科学, 2023, 31(1): 21-36.

LU Jing, , YU Hao. The Impact of Industrial Policy on Idiosyncratic Volatility of Stock Price and the Mechanism[J]. Chinese Journal of Management Science, 2023, 31(1): 21-36.

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