企业金融化与股价“同涨同跌”现象  

Corporate Financialization and Stock Price Synchronicity

作　　者：赵林丹 梁琪[1] Zhao Lindan;Liang Qi(School of Economics,Nankai University,Tianjin 300071,China)

机构地区：[1]南开大学经济学院,300071

出　　处：《南开经济研究》2021年第2期181-200,224,共21页Nankai Economic Studies

基　　金：国家自然科学基金项目“金融机构系统性风险敞口与贡献的度量及监管研究--基于金融网络视角的分析”(71703111);国家自然科学基金面上项目“资本市场改革对企业创新的影响研究:基于公司治理的视角”(71772090)的资助。

摘　　要：根据2008—2018年企业金融化数据与股价同步性数据,本文实证研究了企业金融化对股价“同涨同跌”的影响。研究发现,随着企业金融化程度的提高,股价同步性先下降后上升,即两者呈现U型关系。机制检验发现,出于预防性动机的金融化对股价同步性的影响表现出“披露效应”,能够提高信息披露质量,从而抑制股价同步性;出于投机性动机的金融化则表现出“遮掩效应”,可能恶化委托代理问题,从而促进股价同步性。进一步分析发现,企业金融化与股价同步性之间的U型关系仅存在于熊市行情下,相对于牛市行情,企业金融化在熊市行情下更容易加剧股价“同涨同跌”;除了受到内部因素的影响,企业金融化在外部经济政策不确定性低的情形下更容易发挥抑制股价同步性的作用。本文有助于客观看待企业金融化趋势,对于防范资本市场“同涨同跌”的系统性风险具有参考价值。Based on the data of corporate financialization and stock price synchronicity from 2008 to 2018,this paper empirically studies the impact of corporate financialization on the stock price synchronicity.The study finds that with the increase of corporate financialization,the stock price synchronicity first decreases and then increases,that is,the relationship between the two shows a U-shaped relationship.The mechanism test shows that the effect of financialization with preventive motive on stock price synchronicity shows"disclosure effect",which can improve the quality of information disclosure and restrain the stock price synchronicity;while the financialization with speculative motivation shows a "masking effect",which may worsen the agency problem and promote the synchronicity stock price. Further analysis shows that the U-shaped relationship between corporate finan-cialization and stock price synchronicity only exists in the bear market. Compared with the bull market,corporate financialization is more likely to aggravate the stock price synchro-nicity in bear market. Besides being affected by internal factors,corporate financialization is more likely to play a role in restraining the stock price synchronicity when the external eco-nomic policy uncertainty is low. This paper helps to view the trend of corporate financializa-tion objectively,and has reference value for preventing the systemic risk of stock price syn- chronicity in the capital market.

关 键 词：企业金融化 股价“同涨同跌” 信息披露 委托代理 

分 类 号：F832.51[经济管理—金融学]