上市公司股价崩盘传染及其非对称性研究——基于我国沪深A股实证检验
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摘要
股价崩盘事件时有发生,并且存在明显跨市场传染性,加剧了股价崩盘的负面影响。本文基于A股上市公司大样本实证检验以及保险类公司案例分析,研究中国上市公司间股价崩盘传染性。检验结果显示:A股公司股价崩盘存在明显传染性,导致同行业公司下一周收益率显著降低、同行业公司下一周股价崩盘率显著增加;并且大公司、央企较其他公司对同行业公司传染效应更强。本文验证了资本市场内部股价崩盘传染性,并且存在传染效应不对称性。基于此,本文建议提高上市公司信息透明度、完善股价异常波动监管机制、差异化对待股价崩盘事件来应对股价崩盘传染风险。
Share price crashes occur frequently, and there is a clear cross-market contagion that exacerbates the negative impact of stock price crashes. This paper takes listed companies in China as the samples to empirically test the contagion of stock price crash, and makes a case study based on Insurance listed companies. The results show that the stock price crash of Chinese listed companies is contagious, which leads the stock returns of other companies in the same industry are significantly reduced, and the stock price crash rate is significantly increased. Moreover, the contagion effect of big companies and central enterprises is stronger than other companies. This paper verifies the contagion of stock price crash in the capital market and the asymmetry of the contagion effect. Based on the conclusions of this study, we try to deal with the contagion risk of stock price crash by enhancing the transparency of listed companies, improving the supervision of stock price abnormal volatility, and making differential treatments of stock price crash.
Share price crashes occur frequently, and there is a clear cross-market contagion that exacerbates the negative impact of stock price crashes. This paper takes listed companies in China as the samples to empirically test the contagion of stock price crash, and makes a case study based on Insurance listed companies. The results show that the stock price crash of Chinese listed companies is contagious, which leads the stock returns of other companies in the same industry are significantly reduced, and the stock price crash rate is significantly increased. Moreover, the contagion effect of big companies and central enterprises is stronger than other companies. This paper verifies the contagion of stock price crash in the capital market and the asymmetry of the contagion effect. Based on the conclusions of this study, we try to deal with the contagion risk of stock price crash by enhancing the transparency of listed companies, improving the supervision of stock price abnormal volatility, and making differential treatments of stock price crash.
引文
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[25]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究[J].管理世界,2012,(5).
[26]刘圣尧,李怡宗,杨云红.中国股市的崩盘系统性风险与投资者行为偏好[J].金融研究,2016,(2).
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[2]林乐,郑登津.退市监管与股价崩盘风险[J].中国工业经济,2016,(12).
[3]许年行,江轩宇,伊志宏,等.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012,(7).
[4]权小锋,肖红军.社会责任披露对股价崩盘风险的影响研究:基于会计稳健性的中介机理[J].中国软科学,2016,(6).
[5]陈国进,张贻军,王磊.股市崩盘现象研究评述[J].经济学动态,2008,(11).
[6]Eichengreen B,Rose A K,Wyplosz C..Contagious Currency Crises[J].Social Science Electronic Publishing,1996,98(3):1080-1080.
[7]游家兴.经济一体化进程会放大金融危机传染效应吗?——以中国为样本[J].国际金融研究,2010,(1).
[8]叶五一,谬柏其.基于Copula变点检测的美国次级债金融危机传染分析[J].中国管理科学,2009,(3).
[9]谢志超,曾忠东.美国金融危机对我国金融市场传染效应研究——基于VAR系统方法的检验[J].四川大学学报(哲学社会科学版),2012,(1).
[10]Francis J,Philbrick D,Schipper K..Shareholder Litigation and Corporate Disclosures[J].Journal of Accounting Research,1994,32(2):137-164.
[11]权小锋,肖斌卿,吴世农.投资者关系管理能够稳定市场吗——基于A股上市公司投资者关系管理的综合调查[J].管理世界,2016,(1).
[12]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].管理世界,2013,(7).
[13]Callen J L,Fang X..Short interest and stock price crash risk[J].Journal of Banking&Finance,2015,60(3):181-194.
[14]石广平,刘晓星,魏岳嵩.投资者情绪、市场流动性与股市泡沫——基于TVP-SV-SVAR模型的分析[J].金融经济学研究,2016,(3).
[15]Yuan K..Asymmetric price movements and borrowing consatrints[J].Jounral of Finance,2005,60(1):379-411.
[16]Hong H,Stein J C..Differences of Opinion,ShortSales Constraints,and Market Crashes[J].Review of Financial Studies,2003,16(2):487-525.
[17]谢雅璐.股价崩盘风险研究述评及展望[J].金融理论与实践,2016,(3).
[18]Goldfajn V..Capital Flows and the Twin Crises:The Role of Liquidity[J].IMF Working Paper,1997.
[19]王汉生,张瀚宇,何天英,等.上市公司财务参数与其股价波动性关系探究[J].证券市场导报,2010,(2).
[20]赵静梅,何欣,吴风云.中国股市谣言研究:传谣、辟谣及其对股价的冲击[J].管理世界,2010,(11).
[21]李向荣.中国上市公司会计信息与股价相关性在不同行业的差异[J].经济管理,2005,(12).
[22]凌文.央企控股上市公司九大热点问题研究[J].管理世界,2012,(1).
[23]唐松,温德尔,赵良玉,等.大股东股份增持的动机与效应研究[J].财经研究,2014,(12).
[24]褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016,(5).
[25]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究[J].管理世界,2012,(5).
[26]刘圣尧,李怡宗,杨云红.中国股市的崩盘系统性风险与投资者行为偏好[J].金融研究,2016,(2).
[27]Gabaix X,Gopikrishnan P,Plerou V,et al..Institutional Investors and Stock Market Volatility[J].Quarterly Journal of Economics,2010,121(2):461-504.
[28]凤凰网.熔断机制为什么必须废除?[EB/OL].finance.ifeng.com/a/20160108/14156466_0.shtml,2016-01-08.