عدم قطعیت و شواهد سرمایه گذاری از یک پانل از شرکت های چینی

Using data from various Chinese companies for the period 1994–2005 and applying GMM (System) technique, we report some stylized facts regarding the link between uncertainty and investment, where uncertainty is measured as the volatility of daily stock market returns. Controlling for the short- and long-run investment dynamics, we discover important effects of measured uncertainty on firm-level investment. Our study consistently indicates a positive and statistically significant effect of uncertainty on the company investment. Further more the macroeconomic and firm-specific components of uncertainty also have a significant positive effect on their own. Higher risk perception leading to higher investment, and in turn stronger aspirations of reinvestment.

The benefits of financial globalization aside, the growing interdependence of trade, investment, and finance have arguably increased the developing countries exposure to volatility. In 1990s several emerging market economies witnessed a series of macroeconomic crisis. Pedagogues would stress a simple insight that investment is the most volatile component of GDP, and is therefore, central to understanding the degree and nature of output fluctuations. To the extent that economies suffering from recent financial crisis also experienced a dramatic investment collapse, a careful examination of the investment behavior of firms is doubly useful. A major theoretical advance in the study of investment during the last decade pertains to the role of uncertainty as a critical determinant of investment. In particular, the real options literature in investment has underscored that uncertainties facing a firm's environment can deter investment, as argued by 2 Dixit and Pindyck (1994). These new insights have sparked much theoretical work on the relation between uncertainty and investment, but a central feature of this work is the considerable ambiguity on the long-run effects of uncertainty on investment. In particular, there is no unanimity whether uncertainty deters or promotes investment. In the face of such theoretical ambiguities, empirical evidence on the links between uncertainty and investment remains surprisingly limited. Recent reviews on investment have alluded to this dearth of evidence. As Bond and Jenkinson (1996) note: “Agreement on the effects of uncertainty on the level of investment remains elusive”. Of whatever limited evidence that is available in this area, relates to the developed countries and for the developing and transitional economies the hard econometric evidence is notoriously lacking. This is a serious omission given the fact that developing countries suffer from greater output fluctuations and, if anything, uncertainty is likely to be a much more important concern in these economies. The main goal of this paper is to fill the empirical deficit about an important transitional economy with the latest data. China is in a state of metamorphosis, simultaneously growing, developing and being transformed from a command system to a market economy. A significant driving factor of this transformation is the accession of China to the World Trade Organization (WTO) and will give added impetus to its pursuit of economic reforms. To be specific, this study investigates few stylized facts on the relation between uncertainty and investment using a panel of Chinese firms (1994–2005). It is since the 1990s that the Chinese government has adopted extensive market-based reform policies and established two stock markets. The stock markets have developed remarkably in a limited time period in terms of total market capitalization and total trading volume (Table 1a). In terms of total market capitalization, China ranks as the second largest in Asia, only behind Japan (Economist, 6/1/2000, 2/6/2003). Total market capitalization as the ratio of GDP increased from 4% in 1992 to over 50% at the end of 2000 (Table 1a). The annual turnover ratios3 averaged around 500%, which is very high as compared to any market in the world. Volatility has also reached unparalleled levels. Table 1a. Main indicators of the Chinese stock market (1994–2005) Year Number of firms Nominal GDP Total market capitalization ________________________________________ Market capitalization of negotiable shares Total trading volume (turnover) Volumea % of GDP Volume Volume 1994 287 48197.9 3,690 7.89 969 8,128 1995 311 60793.7 3,474 5.94 938 4,036 1996 514 71176.6 9,842 14.50 2,867 21,332 1997 720 78973.0 17,529 23.44 5,204 30,722 1998 825 84402.3 19,521 24.52 5,745 23,527 1999 922 89677.1 26,471 31.82 8,214 31,320 2000 1060 99214.6 48,090 53.79 16,088 60,827 2001 1140 109655.2 43,522 45.37 14,463 38,305 2002 1213 120332.7 38,329 37.43 12,484 27,990 2003 1277 135822.8 42,457 36.38 13,179 32,115 2004 1363 159878.3 37,055 27.14 11,689 42,334 2005 1381 183084.8 32,430 17.8 10,630 Note: RMB Yuan: 100 million. a Including both A shares and B shares. Table options Table 1b. Turnover rates of major stock exchangesa (1994–2005) (percent) Stock exchange 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 Average Shanghai 1135 529 913 702 454 471 493 269 214 251 289 274 500 Shenzhen 583 255 1350 817 407 424 509 228 198 214 288 316 467 New York 53 59 52 66 70 75 88 87 95 90 90 99 77 Tokyo 25 27 27 33 34 49 59 60 68 83 97 115 56 London 77 78 58 44 47 57 69 84 97 107 117 110 79 Hong Kong 40 37 44 91 62 51 61 44 40 52 58 50 53 Singapore 28 18 14 56 64 75 59 99 54 74 61 48 51 a Sources: China Securities and Futures Statistical Yearbook (2005); website of the World Federation of Exchange (http://www.world-exchanges.org). Table options Provided the stock market volatility reflects some fundamental influences, the corresponding variation in share prices can be meaningfully used to construct an informative measure of uncertainty. Over two decades to until now, it is witnessing a high economic growth and a pronounced boom, annual real income growth in China averaged over 8% and the annual GDP growth is more than 9%, the highest in the world. We investigate these issues in a simple error correction formulation and using a composite measure of uncertainty, based on the volatility of stock market returns. Conditional on standard investment controls, we uncover a positive causal relationship between measured uncertainty and the level of investment.

This study empirically investigates the impact of uncertainty on firm-level investment in China, using an unbalanced panel for the period 1994–2005. By using an error correction model of investment, a composite measure of uncertainty, constructed as the standard deviation of daily stock returns it considers the relevance of stock market volatility to investment decisions. We find that a higher level of uncertainty is associated with higher investment. Regardless of how we estimate it, we get a positive and statistically significant effect for measured uncertainty. This positive effect of uncertainty is obtained after controlling for short- and long-run investment dynamics and is robust to a host of different alternations. In particular, we experiment with a number of alternatives to ensure that our uncertainty variable is not an artifact of omitted investment dynamics. The study uncovers the Chinese investment attitude, higher risk perception led to higher investment performance and in turn stronger aspirations of reinvestment. It accounts for the arbitrage, frequent and short-term stock-trading behaviors adopted by Chinese individual investors to speculate in stock market12. This kind of speculative investment behavior is sometimes a useful way to win in the Chinese Stock Market (Song, 2003). Contrary to Bloom et al. (2001) and Bond and Cummins (2004), there is no evidence to support the suggestion that firms display a weaker response to demand shocks at higher levels of uncertainty. In our estimations, the coefficient of an interaction of sales growth with measured uncertainty remains insignificant at conventional level and does not provide information in either direction. Moreover a decomposition of uncertainty into firm, time, and residual components reveals that it is the firm component that contains the most information. In conclusion, uncertainty at least as measured by the volatility of stock market returns has a pronounced effect on company investment in China and the effect is quantitatively important. The inability to pin down a precise source of uncertainty is partly a consequence of using a more general measure of uncertainty based on stock market returns. But a composite measure of uncertainty is both strength as well as a weakness. If apriori we lack an adequate knowledge of the source of uncertainty most relevant for investment, arbitrarily choosing a specific notion of uncertainty may be problematic. Not to say that constructing a narrower and more specific measure of uncertainty remains an uphill task. In this sense, by capturing the market’s perception of a firm’s value, the composite measure tries to capture all sources of uncertainty, and is thus strength. This can be particularly useful when our primary interest lies in establishing the direction of the uncertainty–investment relationship. Once it is established that, other things being equal, a higher level of uncertainty is associated with higher investment, it is pertinent to ask what kinds of uncertainty matter more than others. Thiswould be particularly relevant for evaluating different theories and for guiding effective policy advice. From this perspective, a composite uncertainty measure remains a weakness, and offers a first approximation, at best. Constructing more refined measures of uncertainty and developing convincing empirical frameworks for testing the investment–uncertainty links therefore remains an important challenge for future research. Moreover, a key path forward is to define innovative criteria for cross-sectional heterogeneity. The results of this study are informative concerning policy implications. Nevertheless, the above findings should not be interpreted as a permanent feature of future investment behavior in China. A major challenge is that the market has grown extremely large, extremely quickly. Generally better explanatory power is provided with the more recent data used in this study, suggesting that the Chinese markets may be maturing and growing well. Thus prior studies that utilized data from earlier periods ought to be interpreted with some caution.