上市公司股指成分股身份竞争与股价崩盘风险  

The Competition for the Status of Index Components and the Stock Price Crash Risk

作　　者：田正磊[1] 王良 罗荣华[2] TIAN Zhenglei;WANG Liang;LUO Ronghua(Southwestern University of Finance and Economics,611130)

机构地区：[1]西南财经大学金融学院,611130 [2]西南财经大学中国金融研究院,611130

出　　处：《财贸经济》2023年第12期65-81,共17页Finance & Trade Economics

基　　金：国家自然科学基金面上项目“信息扩散对资产定价与投资者行为的影响机制研究:基于复杂网络结构的视角”(71873110);国家自然科学基金青年项目“基于私有信息互补理论的基金抱团成因及其市场效率影响研究”(72203178);教育部人文社会科学重点研究基地重大项目“共同富裕目标下金融有效支持经济高质量发展的体制机制与风险管理研究”(22JJD790022)。

摘　　要：近年来我国资本市场指数化投资发展迅猛,全面理解其对市场运行机制的影响具有重要意义。已有文献主要关注上市公司股票被纳入指数之后的经济后果,而忽略了上市公司在指数发布前可能策略性地追求股指成分股身份这一现象。考虑到距离指数纳入门槛较近(即“及格线”附近)的股票其身份摇摆的不确定性更高这一特点,本文通过股票虚拟调样排名和指数纳入门槛的相对距离构建了上市公司股指成分股身份竞争激励的代理指标。进一步地,本文发现那些股票距离指数纳入门槛较近的上市公司为了保留或获得股指成分股身份,会策略性地大幅度隐藏公司负面信息,以维持股价并提升公司市值,进而提升纳入股指的概率,也正是公司的这一策略性自选择行为加剧了其未来的股价崩盘风险。本文的研究不仅有助于更好地理解股价崩盘风险的成因以及股指成分股调整的经济后果,而且为监管部门加强上市公司监管、完善成分股调整制度提供了决策依据。Index investing has developed rapidly in China's capital market in recent years,so it is crucial to fully understand its impact on the market operation mechanism.Existing literature mainly focuses on the economic outcomes following the index inclusion,while ignoring that listed companies may strategically pursue the status of constituent stocks before the index is released.Considering that the uncertainty is higher for stocks closer to the threshold of index inclusion(i.e.,near the"pass line"),this paper constructs a proxy indicator for the competitive incentive of listed companies to become constituent stocks by using the relative distance between the virtual ranking of stock adjustments and the threshold for index inclusion.Further,this paper finds that those listed companies whose stocks are closer to the threshold of inclusion will strategically hide more negative company information in order to maintain their stock prices,thereby increasing their market value and enhancing the probability of being included in the index.This strategic self-selection behavior exacerbates its risk of stock price crash.This paper contributes to existing literature in the following ways.(1)From the perspective of competition for the status of constituent stocks,it describes the strategic self-selection behavior of listed companies in the adjustment process of stock index,and helps readers better understand the operation mechanism of the capital market.(2)This paper examines the subsidies received by listed companies after they are included in the index,provides empirical evidence for the theory of index inclusion subsidies in the Chinese market,and moreover,reveals the fundamental motivation for listed companies to compete for the status of constituent stocks.(3)The mechanism analysis in this paper shows that the adjustment of constituent stocks can cause the distortion of company behavior through strategic self-selection,and thus produce a series of economic outcomes,which sheds light on future related research.The research conc

关 键 词：股指成分股 自选择行为 股价崩盘风险 

分 类 号：F832.5[经济管理—金融学]