The Impact Of Economic Policy Uncertainty On Stock Price Crash Risk

Although China's capital market has developed rapidly in recent years,compared with foreign countries,China's capital market is still relatively immature,and there has been a sudden rise or sudden decline in stock prices.The stock price collapse will not only greatly damage the wealth of investors,causing panic among shareholders,causing the public to lose confidence in the capital market,but also hinder the normal development of the real economy,affect the normal operation of the capital market,and even trigger a comprehensive economic crisis.At present,the research on its causes mainly focuses on internal factors such as management behavior characteristics,controlling shareholders,accounting information quality,etc.External factors involve auditors,analysts,institutional investors and auditing firms.The external environment of the office did not pay enough attention.Therefore,from the perspective of economic policy uncertainty,this paper studies whether it will affect the risk of stock price collapse,and if so,what is its mechanism of action.This paper first systematically sorts out the related research on economic policy uncertainty and stock price collapse risk,and puts forward the research content of this paper.Secondly,according to the principal-agent theory,the information asymmetry theory and the investor divergence theory,the theoretical analysis of the cause of the stock price crash is carried out,and the hypothesis of this paper is put forward.Finally,combined with the relevant literature,this paper chooses the negative return skew coefficient(NCSKEW)and the income fluctuation ratio(DUVOL)to measure the stock price collapse risk.The Chinese economic policy uncertainty index constructed by Baker et al.(2016)is used as the economic policy uncertainty.Sexual proxy variables,taking into account that the CSMAR database began to comprehensively calculate the key variables and related control variables in 2006,and NCSKEW and DUVOL need to advance one phase in advance because of the model setting.This paper selects the relevant A-share listed companies from 2006 to 2017.Data,using a fixed-effects regression model to study the relationship between the two,using the method of mediation effect to study the mechanism of action between the two.The empirical results of this paper show that:(1)There is a significant positive correlation between economic policy uncertainty and stock price collapse risk.(2)After further studying its impact mechanism,it is found that economic policy uncertainty affects the stock price collapse risk through two channels,one of which is the agency conflict channel,that is,the higher the uncertainty of economic policy,on the one hand,the forecast of management behavior The greater the difficulty of supervision,which intensifies the agency problem of the company.On the other hand,due to the consideration of option salary and career,on-the-job consumption and political factors,management will be more inclined to conceal negative news about company performance.Intensified agency conflicts,which are more likely to cause stock price crash risks.The other is to influence the stock price collapse risk through investor divergence channels.When the uncertainty of economic policy is high,investors have greater differences on stock prices.In short-selling markets,pessimistic investors are on stocks.Expectations cannot be fully reflected in the stock price,and when the pessimistic sentiment burst out,the stock price crash will follow.The research in this paper mainly has the following contributions: First,the research on the risk of stock price collapse does not pay enough attention to the external environment of the company.This paper studies the uncertainty of economic policy from the perspective of policy stability.The impact of the risk of collapse and the exploration of its mechanism of action have,to a certain extent,enriched the study of the impact of the external environment on the risk of stock price collapse.Second,to explore the factors affecting the risk of stock price collapse,to rationalize the market information that affects stock price volatility,can help investors make correct investment decisions,and also help to avoid abnormal fluctuations in the stock market and promote the steady development of China's stock market.Third,it will help to raise the importance attached by relevant departments to economic policy uncertainty,and it will have important reference significance for the formulation of relevant government policies.