股价同步性与股价崩盘风险——基于信息不对称和公司治理视角  

Stock Price Synchronicity and Stock Price Crash Risk: Perspectives of Information Asymmetry and Corporate Governance

作　　者：张军[1] 刘波 沈华玉 Zhang Jun;Liu Bo;Shen Huayu

机构地区：[1]北京物资学院商学院 [2]新疆财经大学 [3]华北电力大学经济管理学院博士后流动站

出　　处：《财经科学》2019年第4期13-25,共13页Finance & Economics

基　　金：国家自然科学基金项目(71532012);国家自然科学基金项目(71172056);国家自然科学基金项目(71572167);北京市教委重点项目(SZ201810037021)资助

摘　　要：本文以2003—2015年沪、深两市上市公司为样本,考察了上市公司股价同步性与股价崩盘风险的关系。研究发现:上市公司股价同步性与股价崩盘风险显著正相关,在信息不对称程度较高,管理层隐瞒坏消息动机较强的公司,两者之间的正相关关系更显著。进一步的研究表明,内外部的公司治理机制能够通过缓解信息不对称和抑制管理层隐瞒坏消息的行为降低股价崩盘风险。上述结论在经过内生性检验、子样本回归等一系列稳健性检验后仍然稳健。本文结果既丰富了股价同步性和股价崩盘风险的相关文献,也从微观市场的角度对股价崩盘风险的影响因素进行研究,给监管层和上市公司清楚认识股价同步性的经济后果提供借鉴。The higher the stock price is synchronous, the higher the degree of information asymmetry or the lower level of corporate governance. In this paper, using the sample of Listed Companies in Shanghai and Shenzhen from year 2003-2015, we investigate the relationship between stock price synchronicity and stock price crash risk. The results show that: the stock price synchronicity has a significant positive correlation with the stock price crash risk, the positive correlation is more significant in companies with high degree of information asymmetry and strong motivation of management to conceal bad news. In the further research, corporate governance mechanism can reduce the risk of stock price crash by alleviating information asymmetry and restraining management's hiding bad news. The concl sion is still robust after a series of robustness tests, such as sub-sample regression, further control of other variables. The results of this paper not only enrich the related literature about stock price synchronicity and stock price crash risk, but also study the impact of stock price crash risk from the perspective of micro market;we hope to provide reference to regulators and listed companies to understand the economic consequences of stock price synchronicity.

关 键 词：股价崩盘风险 股价同步性 信息不对称 治理水平 

分 类 号：F832.5[经济管理—金融学]