经济政策不确定性、意见分歧与股价崩盘风险

基于中文媒体构建的中国经济政策不确定性指数，研究经济政策不确定性对股价崩盘风险的影响效果和机制。结果显示：经济政策不确定性的提高会显著加剧股价崩盘风险，这表明经济政策不确定性是崩盘风险的诱因之一。通过对影响机制检验发现，经济政策不确定性对股价崩盘风险的正向作用，随着投资者意见分歧的增加而加强。在宏观经济良好时期，非国有股权和规模较大的企业，经济政策不确定性并未明显加剧股价崩盘风险，甚至起到了缓解股价崩盘风险的作用。

Economic Policy Uncertainty, Divergence of Opinion and Stock Price Crash Risk

This paper uses China economic policy uncertainty index based on Chinese media to study the effects and transmission mechanisms of policy uncertainty on stock price crash risk. The research results show that the increase of economic policy uncertainty can significantly increase the risk of stock price crash risk, which indicates that economic policy uncertainty is one of the incentives for the crash risk. Through the examination of the transmission mechanism, it is found that the positive effect of economic policy uncertainty on the stock price crash risk strengthens with the increase of investors'' opinions divergence. In a period of good macroeconomics, non-state-owned equity and large-scale enterprises, the economic policy uncertainty mitigates, rather than aggravates, the stock price crash risk.