关键词: 奈特不确定性, 股票流动性, 投资者行为

Abstract: Uncertainty is an inherent attribute of capital markets. Knight distinguishes the concepts of risk from uncertainty, pointing out that risk is a situation in which the probability distribution of profits and losses is known, while the situation in which the probability distribution of profits and losses is unknown is the real uncertainty. Later, economists defines it as “the Knight uncertainty.” In recent years, the global economy has faced downward pressure, leading to increased instability and uncertainty in economic development. Numerous unknown micro (such as corporate bankruptcies and legal issues) and macro (such as the Saudi Aramco oil attack, the novel coronavirus outbreak and the Russia-Ukraine war) uncertain events have exacerbated economic uncertainty and have a negative impact on financial markets in various countries.
Liquidity, as a feature of market quality, is a sign of market efficiency. In a market with sufficient liquidity, investors can quickly trade stocks at low cost, asset prices can reflect market information in a timely manner, and resource allocation efficiency is high. From a micro point of view, liquidity is at the forefront of the capital market, has an incentive effect on technological innovation of enterprises, and helps to increase the long-term value of enterprises. In addition, liquidity has a positive effect on boosting corporate profits. From a macro perspective, once the market is illiquid or even dried up, asset prices will plummet in a short period of time, triggering a financial crisis.
Based on the data of Chinese A-share listed companies from February 2015 to December 2019, this study explores the impact of the Knight uncertainty on stock market liquidity. The results show that an increase in the Knight uncertainty significantly reduces stock market liquidity. The mechanism analysis shows that the Knight uncertainty has a negative impact on stock market liquidity by affecting investors’ trading behavior. On the one hand, with the rise in the Knight uncertainty, some investors tend to sell assets, resulting in the imbalance of market buying and selling pressure, thus reducing the liquidity of the stock market. On the other hand, with the rise in the Knight uncertainty, some investors stop trading or even withdraw from the market, resulting in the reduction in overall market participation and the decline of stock market liquidity. Heterogeneity analysis shows that the negative impact of the Knight uncertainty on stock market liquidity is more significant for companies with weak ability to resist risks (such as small market capitalization, short listing years and non-state-owned nature) and low governance level (such as less institutional shareholding and using non-Big four auditors), as well as in the market environment with low overall investor sentiment.
This paper enriches the research on the relationship between the Knight uncertainty of China’s capital market and the liquidity of the stock market, explores whether the conclusions drawn from the mature capital market are applicable to the emerging capital market, and provides some enlightenment for the smooth operation of China’s capital market. Secondly, the Knight uncertainty directly affects investor behavior, which currently focuses more on mathematical models. Following previous studies, this paper explores the internal impact of the Knight uncertainty on stock liquidity from the perspective of investor trading behavior through empirical methods on the basis of theoretical analysis. In order to explain investor behavior, this paper innovatively uses order book data to construct an index of “abnormal trading volume” to measure stock market participation in a quantitative way, and further explores its role in the relationship between the Knight uncertainty and stock market liquidity. This provides some significance for understanding the operation law of China’s stock market and improving market efficiency. Finally, the conclusions of this paper have practical significance for investors, enterprises and regulators.

Key words: Knight uncertainty, stock market liquidity, investor behavior