企业债务成本与股价崩盘风险的关联性——基于PVAR模型的实证检验  

A Research on the Correlation Between the Cost of Enterprise Debt and the Risk of Stock Price Collapse:an Empirical Test Based on PVAR Model

作　　者：温林鸿 李碧珍[1,2] WEN Linhong;LI Bizhen(School of Economics,Fujian Normal University,Fuzhou Fujian 350108,China;Concord College,Fujian Normal University,Fuzhou Fujian 350108,China)

机构地区：[1]福建师范大学经济学院,福建福州350108 [2]福建师范大学协和学院,福建福州350108

出　　处：《泉州师范学院学报》2023年第2期56-62,共7页Journal of Quanzhou Normal University

基　　金：福建省社会科学基金青年项目(FJ2021C015);福建省高校哲学社会科学研究项目(统一战线专项)(JAT21054)。

摘　　要：从股价崩盘风险的影响因素和经济后果研究企业债务成本与股价崩盘风险间的关联性.一方面,企业债务成本上升增加企业的经营风险;另一方面,股价崩盘风险增加,债权人要求获得更高的风险报酬,从而提高借贷成本,提高企业债务成本.运用PVAR模型、脉冲响应分析等方法,以2010-2019年我国沪深A股上市公司为样本进行实证检验,结果表明,企业债务成本的上升会显著增加股价崩盘风险,但该影响并不具有持续性;股价崩盘风险的上升会迅速使企业债务成本增加,但成本的上升只是暂时的,随后将会逐渐下降.因此,为防范股价崩盘风险,应加强企业风险管理意识,增加企业信息透明度,加大对高风险行业的监管.In the stock market,the enterprise debt crisis is an important cause of the stock price collapse,and the outbreak of the debt crisis is inseparable from the cost of enterprise debt.This article studies the correlation between the cost of enterprise debt and the risk of stock price collapse from the two perspectives of the influencing factors and economic consequences of stock price collapse risk.On the one hand,the increase in the cost of enterprise debt increases the business risk of the company;on the other hand,the risk of stock price collapse increasing,creditors demand higher risk rewards,thereby increasing borrowing costs and increasing the cost of enterprise debt.Then,using PVAR model,impulse response analysis and other methods to conduct empirical testing with the sample data of Shanghai and Shenzhen A share listed companies from 2010 to 2019,the results showed that the increase in the cost of enterprise debt would significantly increase the risk of stock price collapse,but the impact is not sustainable,and the increase in the risk of a stock price crash would rapidly increase the cost of enterprise debt,but the increase in cost was only temporary and would gradually decrease thereafter.Therefore,in order to prevent the risk of stock price collapse,it is necessary to strengthen enterprise risk management awareness,increase enterprise information transparency,and increase supervision of high risk industries.

关 键 词：债务成本 股价崩盘风险 风险报酬 PVAR模型 

分 类 号：F832[经济管理—金融学]