Research On The Influence Of Economic Policy Uncertainty On The Asset Portfolio Pricing Of China's Stock Market

In this paper,25 groups of book to market ratio-the monthly return of scale portfolio from January 2000 to September 2019 are taken as the research samples to test the pricing ability of intertemporal capital asset pricing model(ICAPM)of Merton on the portfolio of China's stock market.In the cross period capital asset pricing model,risk premium comes from the conditional covariance of asset return,market return and other state variables.In terms of the selection of state variables,this paper attempts to take market portfolio yield,size factor(SMB),book to market ratio factor(HML)and economic policy uncertainty(EPU)as alternative state variables.GARCH DCC method proposed by Engle is used to test the explanatory power of the model to the portfolio under the combination of four state variables.And compared with the three empirical analysis,this paper focuses on whether the cross period capital asset pricing model can significantly improve the pricing ability of the asset portfolio when the economic policy uncertainty as a state variable.The empirical results show that market portfolio yield,size factor(SMB),book to market ratio factor(HML)have a positive and significant relationship with portfolio pricing,and economic policy uncertainty(EPU)has a negative and significant impact on portfolio pricing.In addition to the traditional FF three factors,this paper considers that the economic policy uncertainty is also an effective state variable in the inter period capital asset pricing model(ICAPM).Adding economic policy uncertainty to the inter period capital asset pricing model(ICAPM)will improve the pricing ability of ICAPM to the portfolio of China's stock market.On the basis of empirical research,this paper puts forward relevant countermeasures and suggestions.This paper argues that the government needs to improve the market mechanism,unblock the information transmission channels,improve the predictability of economic policy uncertainty,in order to reasonably price the asset portfolio,reduce the volatility of the stock market,achieve a win-win situation between investors and enterprises,stabilize the market,and create a more fair,orderly and effective financial market.