| Yi Huiman,Chairman of the CSRC,has repeatedly emphasized the need to explore the establishment of a "valuation system with Chinese characteristics" since 2022,so as to better play the market resource allocation function.The price discovery mechanism is the core of resource allocation efficiency,but the pricing efficiency of China’s capital market has been at a low level for a long time,which is mainly reflected in the lack of effectiveness of equilibrium prices of stocks in response to real information.In order to effectively improve the pricing efficiency of the stock market,the study of its influencing factors is indispensable.In recent years,the "black swan"and "gray rhinoceros" events have been frequent,and countries have accelerated the introduction of policies to curb the risk of short-term economic recessions,and the degree of economic policy uncertainty has continued to rise,affecting stock market returns and volatility while greatly affecting market pricing efficiency.However,the existing literature has not explored the relationship between the two and ignored the synergistic effect of information environment.Therefore,this paper considers both macro and micro factors,and includes the information disclosure quality of listed companies in the research framework from a micro perspective while studying the impact of economic policy uncertainty on the pricing efficiency of stock market.This is of great theoretical and practical significance for understanding the impact of economic policy uncertainty on stock market pricing efficiency and improving market pricing efficiency in a targeted manner.Based on the existing literature,combining the efficient market theory,information asymmetry theory,signaling theory,principal-agent theory and behavioral finance theoty,this paper selects a total of 30,009 sample data of 3704 listed companies in Shanghai and Shenzhen A-shares from 2008 to 2021 from the perspective of private information arbitrage to investigate the relationship between economic policy uncertainty,information disclosure quality and stock market pricing efficiency.The relationship between economic policy uncertainty,information disclosure quality and stock market pricing efficiency is investigated.The results find that elevated economic policy uncertainty has a negative impact on stock market pricing efficiency,which can be mitigated by higher information disclosure quality.The findings remain unchanged after robustness tests by changing the variable measures,excluding special years and endogeneity treatments.Further heterogeneity analysis reveals that economic policy uncertainty has a greater impact on stock market pricing efficiency in the sample of non-state owned enterprises,low competitive status,and negative media coverage tendency,and disclosure quality plays a stronger moderating role in the sample of state owned enterprises,low competitive status,and positive media coverage tendency.Thus,this paper puts forward relevant suggestions from the perspectives of monetary authorities,securities regulators,and news media:monetary authorities should minimize the uncertainty in the timing and form of policy releases to reduce their adverse effects on the market and investors;securities regulators should enact corresponding regulations to constrain and implement the information disclosure obligations of listed companies;news media should give full play to their information intermediation and public opinion supervision functions to enhance The news media should give full play to its function of information intermediation and public opinion supervision to enhance the effectiveness of information in the securities market. |
