| After the 19th National Congress of the Communist Party of China,China further clearly stated that the prevention and resolution of financial risks and the promotion of a virtuous circle between finance and the real economy should be the focus of future economic work.However,in recent years,affected by a series of "black swan" events such as the global financial crisis,the European debt crisis,the Sino-US trade friction and the new crown pneumonia epidemic,the level of economic uncertainty in various countries has continued to rise.Moreover,with the gradual opening of the capital market,the interaction between my country and the international capital market has become more closely,and the phenomenon of cross-country and cross-regional risk spillover and contagion is increasing,and the resonance crash of the stock market also occurs from time to time.In this context,reviewing a series of extreme crash events in my country’s stock market,are they related to changes in the international external environment? And what role does the opening of the capital market play in it? These issues need to be thought deeply.This paper takes my country’s A-share non-financial listed companies from 2001 to2021 as the research object,and studies the cross-border impact of the external environment on my country’s stock price crash risk from the perspective of economic policy uncertainty.First,through a two-way fixed-effect model,this paper examines the impact of US economic policy uncertainty on the stock price crash risk of my country’s listed companies.In addition,it also discusses the impact of the global level of economic policy uncertainty on it.After clarifying the relationship between the two,based on the quasi-natural experiment of "Shanghai-Hong Kong & Shenzhen-Hong Kong Stock Connect",the propensity score-double difference(PSM-DID)method was used to explore the role of my country’s capital market opening.Through theoretical analysis and empirical research,the main conclusions of this paper are as follows:(1)The stock price crash risk of my country’s listed companies is positively affected by the uncertainty of foreign economic policies.The crash risk has intensified,and this impact has become more significant after the Sino-US trade friction;secondly,the rise in economic policy uncertainty at the global level will also aggravate my country’s stock price crash risk.(2)The opening of the capital market to the outside world plays a "double-edged sword" role in the development of my country’s stock market:on the one hand,the implementation of the Shanghai-Hong Kong & Shenzhen-Hong Kong Stock Connect will help reduce the stock price crash risk of my country’s listed companies;on the other hand,the implementation of Shanghai-Hong Kong & ShenzhenHong Kong Stock Connect will strengthen the positive impact of foreign economic policy uncertainty on my country’s stock price crash risk,thereby further aggravating the stock price crash caused by cross-border economic policy uncertainty.The innovation of this paper is that it finds new external macro-influencing factors for the causes of the A-share stock price crash,which broadens the research on the causes of the stock price crash in my country;at the same time,it is different from the single empirical conclusion that the opening of the capital market has positive or negative effects in the past.This paper based on the natural experiment of Shanghai-Hong Kong &Shenzhen-Hong Kong Stock Connect,finds that the capital market opening has a potential two-way impact mechanism on my country’s stock market.This is of practical significance for China ’s listed companies to effectively prevent systemic financial risks and relevant departments to attach importance to and establish a series of supporting capital market opening-up measures of supervision and risk prevention mechanism. |
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