Research On The Impact Of China's Economic Policy Uncertainty On Stock Prices Synchronicity

The impact of government actions on the capital market has always been one of the main points of concern in China's academic circles.This paper,delving into the underlying logic behind the two main points of view of information efficiency and irrational behavior,discovers the final decision mechanism of stock price synchronicity,then explores the impact of China's economic policy uncertainty on the stock price synchronicity and gives a reasonable explanation.Specifically,this paper,based on the China Economic Policy Uncertainty Index developed by Baker et al.,takes China A-share non-financial listed companies from 2003 to 2017 as the research object,empirically tests the impact and its internal mechanism of China's economic policy uncertainty on the stock price synchronicity by constructing a comprehensive intermediary effect test procedure and provides a supplementary verification from the perspective of the quality of corporate accounting information.The results show that: Firstly,during the sample period,noise trading in China 's stock market has a significant impact on stock price fluctuations;Secondly,in China's stock market,which is more obviously driven by noise,the increase of economic policy uncertainty will significantly reduce the stock price synchronicity.Thirdly,the negative effect of China's economic policy uncertainty on stock price synchronization is not due to the improvement of information efficiency,but mainly because of the impact of noise trading,that is,the increase of China's economic policy uncertainty will increase the level of noise trading and overally reduce the synchronization of stock prices;Fourthly,China's economic policy uncertainty will reduce the stock price synchronicity by reducing the quality of corporate accounting information.The quality of corporate accounting information plays an intermediary role and also supports the noise interpretation.