The Impact of Economic Policy Uncertainty on China's Stock Market

摘要

Since the outbreak of the international financial crisis, which evolved from the subprime mortgage crisis in the United States in 2008, China has successively introduced many different economic policies to regulate the financial market and the macro economy to maintain its stability, but this has also made the uncertainty of China's economic policies change more frequently. In this context, this paper selects the change rate of economic policy uncertainty index, the standard deviation of stock monthly return rate and the monthly and daily return rate as the empirical analysis variables, and studies the relationship between economic policy uncertainty and China's stock market by establishing the vector autoregressive model and other methods. The results show that the uncertainty of economic policy has a certain negative influence on stock returns in China. In turn, the sharp decline of stock returns and the intensification of stock market volatility will increase the uncertainty of economic policies.