Institutional environment and risk of a stock price crash:evidence from China  

作　　者：Li Xiaorong Dong Hongye 

机构地区：[1]School of Public Finance,Central University of Finance and Economics,Beijing,China [2]Renmin University of China,Beijing,China

出　　处：《China Finance and Economic Review》2015年第3期40-66,共27页中国财政与经济研究（英文）

摘　　要：Stock price crashes damage China’s macro-financial stability,restrict economic growth,and can lead to huge losses in wealth for investors.Therefore,how to reduce the risk for stock price crashes is an important theoretical and practical issue.This paper mainly studies the effects of the institutional environment that creates risks for stock price crashes.Using China’s non-financial A-share listed companies from 1997 to 2012 as an example,this paper finds that the lower the level of government intervention is,the better the legal environment is,the faster the market process in business area is,then the lower the risks for stock price crashes will be.To solve the endogenous problem between the institutional environment and the risk of a stock price crash,this paper uses the number of seaports and whether the commercial ports or leased territories are opened after the first Opium War in Qing Dynasty as instrumental variables of the institutional environment.We find that the above conclusion is still valid with the method of 2SLS regression.Furthermore,this paper also finds that the government intervention index,the legal environment index,and the market index are negatively related to stock price synchronicity to a significant degree.These conclusions illustrate that the institutional environment is an important factor in the healthy and stable development of the capital market,which has important implications for policy markers or regulators to develop policies to promote the stable development of the stock market,to control market risk of listed companies,and to make investment decisions.

关 键 词：institutional environment capital market stock price crash risk stock price synchronicity 

分 类 号：F42[经济管理—产业经济]