The Influence Of Economic Uncertainty On The Volatility Of Chinese And American Stock Markets

With the complexity of the global economic environment and the deepening dependence of the market on economic policies,the frequent government intervention in the economy has affected the self-discipline function of the market to a certain extent and increased the uncertainty of economic policies.Since the outbreak of the global financial crisis,the increasing uncertainty of economic policies has gradually become an important factor hindering economic recovery,while the imperfect and irregular operation of China’s financial market system has amplified its negative impact.Looking at China’s securities market,its development history is short,and it often deviates from the ups and downs of economic development.The response of China’s financial market system to market information and policies is unreasonable,and the influence of economic policy uncertainty lacks effective feedback and regulation.Therefore,a systematic and in-depth study of the impact of economic policy uncertainty on China’s securities market can not only effectively explain the characteristics of China’s securities market,such as "policy market" and "information market",but also have important significance for improving the efficiency of national decision-making,strengthening market supervision and stabilizing the development of the securities market.Based on this situation in China,the United States and Chinese Hong Kong markets,By constructing VARX model,From the perspective of realized volatility of stocks,This paper studies the influence of economic policy uncertainty on stock market,Considering the time difference effect,this paper discusses and analyzes the realized volatility of stocks in the whole,during the day and at night,and concludes that the uncertainty of China’s economic policy has a certain reaction to the volatility of China’s stock market,while the uncertainty of American economy has a spillover effect on the volatility of American stock market.This difference is due to the fact that economic uncertainty comes from mainstream media reports.However,China mainly implements the basic economic system with public ownership economy as the main body and multiple ownership economies developing together.Under this system advantage,when China’s economic uncertainty increases,the government tends to transmit favorable information to the market to ensure the stability of the stock market.As a special financial window,Chinese Hong Kong’s response to economic uncertainty is reflected in the lag of one period.There is no time difference in the response of Chinese stock market to economic uncertainty,while the response of American stock market is more daytime.The spillover effects of stock market volatility on economic policy uncertainty in different countries(regions) are also different.Generally speaking,the change of economic uncertainty is relatively independent of stock market volatility.