四川大学硕士学位论文
序上的均值显著为负，并且其对不同产业板块的企业股票收益率的效应方向也
是显著为负的；而依据实证结果，贸易政策不确定性对 A股市场的股票收益率
没有显着的解释作用，其不能作为后者的风险因子。
本文可能的创新之处在于：第一，已有研究大多使用时间序列数据，直接
探析关涉经济政策中这种难以预测部分对中国股票市场指数收益率及波动性等
的作用效应，而本文以筛选过后的A股股票全样本数据为研究对象，探讨中国
经济政策不确定性风险是否显著影响股票收益率，是否是股票收益率的一种解
释因子。第二，已有著作大多直接将总体经济政策不确定性作为考究对象,而较
少针对性地专研如财政、货币等相异类别经济政策中不可预测部分所产生的作
用效应。本文则进一步具体研析了各分类经济政策不确定性对股票回报率的关
联效应，使得此类探究框架更加完善。
本文的不足之处包括：第一，受能力局限与资源获取困难等因素的制约，
文中未尝试构造自己的经济政策不确定性指标。文章中所选取的指数存在一定
不足，例如仅仅采用新闻指数而缺乏其他宏观指标的融入等，会引致一些实证
上的缺陷。第二，本文在分析过程中，使用传统的 Fama-French五因子模型中
的解释因素作为有关计量模型中的控制变量，而没有引入部分学者提出的一些
尚存争议的解释因素，可能会对研究结果造成一定影响。
关键词：经济政策不确定性股票收益率两步回归模型多因子模型
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四川大学硕士学位论文
The Study on the Influence of Economic Policy
Uncertainty on Stock Returns in China Stock
Market
Major: Finance
Postgraduate: LinWen Luo
Supervisor: XiaoRong Du
Abstract: Recent years, trade protectionism has been on the rise, and a sudden
global public health event in late 2019 has led to a worldwide economic recession.
The growth of the universal economy is full of unsure states. Governments of various
countries frequently introduce and adjust economic policies to regulate the macro
economy, promote the stability of asset prices and promote the steady development of
the capital market. But the frequent changes of these economic policies increase the
uncertainty of economic policies, and the increase of the uncertainty of economic
policies has an impact on the changes of economic behaviors of various economic
subjects, especially on investors' judgment of future expectations of asset returns and
risk. The study of economic policy uncertainty has always been a frontier topic in the
field of economics, and how it affects stock return rate is one of the key directions of
current research on economic policy uncertainty. Based on China's stock market as
the research object, this paper discusses the effect of China's economic policy
uncertainty on stock returns, explore whether economic policy uncertainty can be
explained as the factors of stock yield in the A-share market in order to help more
various economic entities to participate effectively in the capital market, promote
capital market and macro economy running smoothly.
In addition to the introduction, this paper is mainly divided into five parts. The
first part defines the concept of economic policy uncertainty and then summarizes the
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四川大学硕士学位论文
related theories of economic policy uncertainty affecting stock return rate. The second
part analyzes the fluctuation characteristics of China's overall and various categories
of economic policy uncertainty. The third part introduces the empirical basis of this
paper, the research samples and data sources, the selection of variables and the
construction method of the relevant empirical model. In the fourth part, OLS, WLS,
rolling window regression and other methods were used to conduct regression analysis
on the Fama-Macbeth two-step regression model applied in this paper, and robustness
test was carried out. In the fifth part, the conclusions of this paper are drawn, and
relevant suggestions are put forward for the various participants in China's stock
market -- investors, the government, and enterprises.
According to the results of the study, the general economic policy uncertainty,
fiscal policy, monetary policy, exchange rate and capital account policy uncertainty
are the explanatory factors of stock return and can be used as a risk factor to explain
stock return. The average returns of the risk factors of uncertainty of overall economic
policy, fiscal policy, monetary policy, exchange rate and capital account policy are
significantly negative in the time series, and their effects on the return rate of stock of
each industry are also negative. This negative effect is significant for all industries
this paper choses. According to the empirical results, the uncertainty of trade policy
has no obvious explanatory effect on the stock return rate of A-share market, and
cannot be taken as the risk factor of the stock return rate.
The innovation of this paper lies in: first, the existing studies mostly using time
series data, conduct the direct analysis of economic policy uncertainty on the influence
of China's stock market index return and volatility. This paper takes the full sample
data of A-share stock after screening as the research object, and discusses whether
China's economic policy uncertainty risk significantly affects stock returns, whether
can be explained as the risk factor of stock yield. Second, most of the existing studies
directly take the overall economic policy uncertainty as the research object, and less
specifically study the impact of classified economic policy uncertainty, such as fiscal
policy uncertainty and monetary policy uncertainty. This paper further analyzes the
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