经济不确定性（风险）对股票流动性共性的影响

股票流动性共性可用来衡量股市系统流动性风险。双向固定效应的面板数据分析显示:由宏观经济变量的增长比率构建而成的经济不确定性减弱股票流动性共性，经济风险增强流动性共性；不确定性对股票流动性共性的影响并非对称于风险；不确定性（风险）对股票流动性共性的预测比对当期股票流动性共性的影响更为显著。向量自回归的脉冲响应函数分析显示:股票市场流动性共性对经济不确定性的冲击做出负响应，对经济风险的冲击做出正响应；响应的程度在未来一两个月增强，随后减弱。

Impact of Economic Uncertainty (Risk) on Stock Liquidity Commonality

Stock liquidity commonality can be used to measure systemic liquidity risk in the stock market. Two-way fixed effect model of panel data analysis shows that economic uncertainty constructed with macroeconomic growth rate weakens stock liquidity commonality, but economic risk enhances stock liquidity commonality. The impact of economic uncertainty on the stock liquidity commonality is asymmetrical with the impact of economic risk on stock liquidity commonality. The predictive power of economic uncertainty (risk) to the stock liquidity commonality is more significant than contemporaneous power of that to stock liquidity commonality. Impulse response function analysis of vector auto-regression shows that stock market liquidity commonality has the negative response to the shock of economic uncertainty, but stock market liquidity commonality has the positive response to the shock of economic risk. The magnitude of responses become stronger in the coming two month s, and then decrease