Economic policy uncertainty, information production, and transparency
研究2005至2022年中国股市中经济政策不确定性如何影响企业信息环境，发现不确定性提升会改善次年信息透明度，但企业增加披露的同时分析师和媒体覆盖却下降。
This paper investigates how Economic Policy Uncertainty (EPU) influences corporate information environments in Chinese stock markets from 2005 to 2022. Using multiple measures of information transparency based on bid-ask spreads, price impact, and trading illiquidity, we document that elevated EPU leads to enhanced information transparency in the subsequent year. We identify asymmetric effects of EPU on information production: while firms respond to high EPU by increasing disclosure intensity and adopting a more optimistic tone, analysts and media coverage significantly decline. Additionally, EPU weakens the link between firms' information production and transparency outcomes. These findings are robust to an instrumental variable approach that addresses endogeneity concerns, as well as to alternative measures of both EPU and information transparency. Our findings contribute to the literature by revealing the complex mechanisms through which policy uncertainty shapes information environments in emerging markets. • Economic Policy Uncertainty (EPU) improves information transparency in China's stock market, based on inverse bid-ask spread, disclosure quality index, and illiquidity ratio. • While higher EPU encourages managers to issue more detailed and optimistic reports, it reduces coverage from analysts and media. • By refining measurement approaches, this study clarifies the role of EPU in shaping information environments.