企业债务违约风险影响股票流动性吗?  

Does the Risk of Corporate Debt Default Influence Stock Liquidity?

作　　者：谭春枝[1] 闫宇聪 TAN Chunzhi;YAN Yucong

机构地区：[1]广西大学商学院 [2]广西大学中国——东盟金融开放门户研究院

出　　处：《暨南学报（哲学社会科学版）》2020年第9期84-102,共19页Jinan Journal(Philosophy and Social Sciences)

基　　金：国家自然科学基金项目“政治关联与企业债券违约风险:形成机理及其经济后果”(批准号:71963001);广西高校人文社会科学重点研究基“广西发展战略研究院”课题研究成果;广西自然科学基金项目“广西科技金融风险投资管理理论与方法研究”(批准号:2018GXNSFBA050012)。

摘　　要：近年来,企业债务违约风险及其经济后果引起了社会各界的广泛关注。本文以2009年至2018年间中国A股上市公司为样本,研究了企业债务违约风险对股票流动性的影响。实证结果表明:企业债务违约风险对股票流动性存在显著的负向影响。在利用工具变量法以及倾向得分—双重差分法缓解内生性并进行一系列稳健性测试后,该结论依然成立。同时,企业债务违约风险对股票流动性的影响具有异质性:国有企业债务违约风险对股票流动性的负向影响要弱于非国有企业;位于市场化程度较高地区的上市公司,其债务违约风险对股票流动性的负向影响更大。此外,本文还进行了中介效应研究,发现企业债务违约风险会通过抑制投资者的融资行为,对股票流动性产生负向影响。In recent years,the risk of corporate debt default and its economic consequences have aroused widespread attention of people from all walks of life.This paper uses data from Chinese A-share listed companies from 2009 to 2018 to study the impact of corporate debt default risks on stock liquidity.Empirical results point out that the default risk of corporate debt has a suppressing effect on stock liquidity,that is to say,the greater the default risk of a listed company,the lower the liquidity of stock.After using instrumental variable and PSM-DID methods to alleviate endogenousness and conducting a series robustness test,the conclusion is still valid.In addition,the negative impact of enterprise default risk on stock liquidity is more obvious in non-state-owned enterprises and listed companies with higher degree of marketization.In order to explore the effect of default risk on stock liquidity,this paper conducts an intermediary effect study and then finds that corporate debt default risk can inhibit investors’financing behaviors,which in turn has a negative impact on stock liquidity.The conclusion of this article has important practical significance to objectively understand the impact of enterprise default risk on stock liquidity and understand the linkage effect between bond market and stock market.

关 键 词：企业债务违约风险 股票流动性 内生性 融资行为 

分 类 号：F832[经济管理—金融学] F276