Journal of Financial Markets·Volume 38·March 2018

政治和流动性

作者：Ben R. Marshall（Massey University）

Hung T. Nguyen（Monash University）

Nhut H. Nguyen（Massey University）

Nuttawat Visaltanachoti（Massey University）

摘要：相较于共和党人任总统而言，股市在民主党人任总统时更具流动性。这在市场层面上很明显，但在小市值股票和价值型股票以及对民主党总统更为敏感的行业中更为明显。这种影响对于不同的流动性指标和时间周期是强有力的，并非完全由商业周期或宏观经济变量的变化所驱动。包括信息不对称、波动性和经济政策不确定性在内的一些影响流动性的因素，在民主党总统任期内都较低。研究还表明，在民主党总统接替共和党总统之后的几个月里，流动性有所增加。

关键词：流动性，政治，信息不对称，经济政策不确定性

Politics and liquidity

Ben R. Marshall（Massey University）, Hung T. Nguyen（Monash University）, Nhut H. Nguyen（Massey University）, Nuttawat Visaltanachoti（Massey University）

ABSTRACT

The equity market is more liquid under Democratic than Republican presidencies. This is apparent at the market level but is stronger in small, value stocks and in industries that are more sensitive to Democratic presidents. The effect is robust to different liquidity measures and time periods and is not solely driven by variation in the business cycle or macroeconomic variables. A number of factors that influence liquidity, including information asymmetry, volatility, and economic policy uncertainty, are all lower during Democratic presidencies. We also show that liquidity increases in the months following a Democratic president replacing a Republican president.

Keywords：Liquidity, Politics, Information asymmetry, Economic policy uncertainty

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418116303081#!

翻译：何杉