Analysis Of The Influence Of China's Economic Policy Uncertainty On Stock Market Multi-Dimensions Based On Mixed Data Model

In the process of continuous reform and perfection of the stock market,it is inevitable to be influenced by the economic policies pursued with the development of the capital market.However,the introduction and effect of the economic policies are uncertain and uncertain.Specifically,on the one hand,the uncertainty of economic policy will affect investors' expectations and behavior to a certain extent,and then lead to the fluctuation of the stock market;on the other hand,as the”barometer,of macro-economy,the change of the development trend of the stock market will also react to the formulation and introduction of economic policy,that is,it also has a certain degree of impact on the uncertainty of economic policy.At the same time,scholars have found that the ups and downs of China's stock market are often accompanied by the introduction of policies.Many policies introduced with the development of capital market have a key impact on China's stock market.Therefore,many scholars also call China's stock market a "policy market".Despite the continuous liberalization of policies,the regulatory authorities are gradually reducing their intervention in the stock market,but their,policies" The characteristics of "city" are still quite obvious.Therefore,more and more investors and scholars pay attention to the research on the relationship between economic policy uncertainty and stock market.And as China's economy enters a new normal stage,in the process of transformation and upgrading,China will face so many challenges and problems at home and abroad,and many aspects are also trying and exploring.In order to stabilize economic development,the government will inevitably issue a series of policies and constantly adjust them,which will lead to the increase of uncertainty in China's economic policy,and thus will increase investor risk.Therefore,it is very important and necessary to analyze the impact of policy uncertainty on stock market returns and risks.On the basis of clarifying the significance of the study and reviewing the current research situation,this paper further combs the theoretical mechanism of the impact of economic policy uncertainty on the stock market.Based on the analysis of the theory,this paper uses the EPU(Economic Policy Uncertainty)index constructed by Baker et al.(2016)to describe the uncertainty of China's economic policy,and chooses the representative stock indexes of Shanghai,Shenzhen and Hong Kong stock markets(Shanghai,Shenzhen and Hang Seng indices respectively).Based on the mixed-frequency data model,the impact of the uncertainty of China's economic policy on the stock market is comprehensively analyzed.Empirical analysis:This paper not only examines the relationship between China's economic policy uncertainty and stock market returns,but also further explores the impact of China's economic policy uncertainty on stock market volatility,skewness and kurtosis.In order to study the effect of skewness and kiurtosis,the existing mixing data model is also introduced into the high-order moments.It is found that there is a significant correlation between the uncertainties of China's economic policy and the stock returns of Shanghai,Shenzhen and Hong Kong Stock Exchanges,and the changes of the uncertainties of China's economic policy will also have a certain impact on the volatility and skewness of the stock market.The rise of the uncertainties of China's economic policy will increase the risk of the stock market to a certain extent,as follows:Firstly,this paper uses Granger causality test to examine the causal relationship between stock index returns in Shanghai,Shenzhen and Hong Kong and the uncertainty of China's economic policy.Because the EPU index of China constructed by Baker et al.(2016)1s monthly data,and the returm rate of stock index has both monthly data and daily data,this paper uses the same-frequency Granger causality test and mixed-frequency Granger causality test to empirically study the Granger causality between the uncertainty of economic policy and the return rate of stock index of Shanghai,Shenzhen and Hong Kong.The results show that mixed-frequency Granger causality test is easier to capture the short-term impact of economic policy uncertainty on stock market volatility.Under the original hypothesis that "China's economic policy uncertainty is not the Granger cause of stock market index daily return",the tests on Shanghai,Shenzhen and Hong Kong stock markets reject the original hypothesis and consider that China's economic policy uncertainty is related to three stock markets.The daily return rate of stock market has a signifieant impact.Secondly,this paper uses GARCH-MIDAS model to make an empirical study on the impact of economic policy uncertainty on the volatility of stock index return in Shanghai,Shenzhen and Hong Kong.The results show that the level of economic policy uncertainty has a significant positive impact on the long-term volatility of the stock market,in which Shanghai has the greatest impact;and the volatility of economic policy uncertainty in China also has a positive impact on the stock market.The long-term fluctuation of the city has a significant positive impact,which has the greatest impact on the Shenzhen Stock Exchange and relatively weak impact on the Hong Kong Stock Exchange.At the same time,the study finds that the volatility of China's economic policy uncertainty has a greater and more significant impact on the market volatility of Shanghai,Shenzhen and Hong Kong than its level value.Thirdly,in order to further investigate the impact of economic policy uncertainty on higher moments such as skewness and kurtosis of stock market,this paper improves GARCH-MIDAS model by referring to the idea of NAGARCHSK model,and proposes a new mixing data model,GARCHSK-MIDAS model,which introduces higher moments,and uses this model to make a more comprehensive study of the relationship between economic policy uncertainty and stock market risk in China.Empirical analysis shows that the rising uncertainty of economic policy will increase the volatility,and the rising uncertainty of economic policy will make the skewness lower.Both show that the rising uncertainty of economic policy will make the long-term risk of Shanghai,Shenzhen and Hong Kong Stock Exchanges bigger.However,the results of this paper suggest that the impact of China's economic policy uncertainty on the stock market needs to take into account the dimension of higher moments,and the new high-order moment mixing data model constructed in this paper has good practical application value.