ETF、股票流动性与股价崩盘风险  

ETF,Stock Liquidity,and Stock Price Crash Risk

作　　者：朱菲菲 吴偎立[1,2] 杨云红[1,2] ZHU Feifei;WU Weili;YANG Yunhong(School of Finance,Central University of Finance and Economics;Guanghua School of Management,Peking University)

机构地区：[1]中央财经大学金融学院,北京102206 [2]北京大学光华管理学院,北京100081

出　　处：《金融研究》2023年第6期169-186,共18页Journal of Financial Research

基　　金：国家自然科学基金青年项目(72102247,71702205);教育部哲学社会科学研究重大课题攻关项目(22JZD011);中央财经大学科研创新团队支持计划;中央财经大学重大研究支持计划“金融可持续发展研究”对本文的资助。

摘　　要：在我国坚持创新驱动发展、强调不发生系统性金融风险的大背景下,本文从公司治理角度出发,实证检验了ETF这一创新型金融工具与股价崩盘风险之间的关系。本文发现,ETF在提高上市公司股票流动性的同时,会吸引更多的短期投资者,加剧管理层隐藏负面消息的动机,从而增加股价崩盘风险。然而,A股定价机制不完善以及分析师乐观偏差等外部因素并非ETF增加股价崩盘风险的主要原因。进一步分析表明,代理冲突越严重、公司治理水平越差以及信息不对称程度越高的企业中,ETF对股价崩盘风险的影响更加明显。本文研究对于辩证认识金融创新、金融风险与金融监管之间的关系,提升上市公司治理水平,防范系统性金融风险都具有一定启示。Financial innovation continually provides the impetus for financial development. Accelerating financial innovation is essential to advancing comprehensive financial reforms and can also be an effective catalyst for increasing resource allocation efficiency and propelling high-quality economic development. In the context of rapidly constructing a new development pattern and striving for high-quality growth in China, the question of how to balance the relationship between financial innovation and financial risk has become significant.Exchange-traded funds(ETFs) are among the most popular and important financial innovations of recent years. However, although ETFs have proven to be valuable, they have had adverse effects on the stability of the financial market. For example, following the “flash crash” in the U.S. market on May 6, 2010, various publications such as the Kauffman Report attributed the cause of the stock price flash crash to the short selling mechanism of ETFs, and argued that ETFs exacerbate panic selling and trigger systemic risk. ETFs have become increasingly popular among investors in China. However, given the vast differences between China's A-share market and those of Western countries in terms of investor structure, trading systems, and corporate governance, whether financial innovations like ETFs may have unforeseen negative effects on underlying stocks and the financial market requires further examination.Chinese listed companies play an essential role in maintaining the stability of the financial market through steady stock price development. However, stock price crashes are not uncommon. These crashes generally undermine shareholder rights and investor confidence, leading to a lack of stability in market operation. In a complex and interconnected financial system, the price plunge of a single stock can potentially trigger a domino effect damaging financial market stability. Against this backdrop of rapid ETF growth and frequent stock price crash risk, the question arises of whether the tw

关 键 词：交易型开放式指数基金 股票流动性 股价崩盘风险 公司治理 

分 类 号：G12[文化科学] G23G30