数字化转型、宏观经济环境差异与股价崩盘风险  

Digital Transformation,Macroeconomic Environment Difference and Stock Price Collapse Risk

作　　者：方健 Fang Jian(School of Environment and Energy,Peking University Shenzhen Graduate School,Shenzhen 518055,China;Futian High Quality Development and Innovation Center,Shenzhen 518036,China)

机构地区：[1]北京大学深圳研究生院环境与能源学院,广东深圳518055 [2]福田高质量发展创新中心,广东深圳518036

出　　处：《当代经济管理》2024年第5期73-83,共11页Contemporary Economic Management

摘　　要：数字化转型有助于企业自身信息的释放,缓解投资者与企业、企业与产品供需市场之间的信息不对称,并使企业和投资者对宏观经济环境的变化更加敏感。文章在已有研究证明数字化转型能够降低股价崩盘风险的基础上,进一步提出数字化转型对股价崩盘风险具有非线性影响,选取2012年至2021年中国沪深A股上市公司为样本,实证检验企业数字化转型和宏观经济环境差异对股价崩盘风险的复杂影响。研究结果显示:与现有数字化转型能够减弱股价崩盘风险的相关研究不同,企业数字化转型对股价崩盘风险呈现倒“U”型影响,随着企业数字化转型加强,对股价崩盘风险的影响为先增大后减弱,并且当前众多企业数字化转型的影响处于倒“U”型的左侧,致使企业股价崩盘风险上升;在各地区和国家金融市场分割普遍存在的情况下,不同资本市场之间的估值差异、利率差异,以及汇率预期对股价崩盘风险均具有影响;数字化转型使企业与经济社会深度融合,能够调节宏观经济环境差异对股价崩盘风险的影响强度。Digital transformation helps enterprises release their information,alleviates the information asymmetry between investors and enterprises,enterprises and product supply and demand markets,and makes enterprises and investors more sensitive to changes in the macroeconomic environment.Based on existing research proving that digital transformation can reduce the risk of stock price crash,this article further proposes that digital transformation has a non-linear impact on stock price risk.By selecting non-financial listed companies in China’s Shanghai and Shenzhen stock exchanges from 2012 to 2021 as samples,we empirically test the complex impact of corporate digital transformation and macroeconomic environment differences on stock price crash risks.The research results show that,unlike related research,digital transformation can reduce the risk of stock price crash,and enterprise digital transformation has an inverted“U”shaped impact on stock price crash risk.As the digital transformation of enterprises strengthens,the impact on stock price crash risk first increases and then weakens.Moreover,the current impact of digital transformation on many enterprises is on the left side of the inverted“U”shape,causing the risk of corporate stock price collapse to increase.In the context of widespread segmentation of financial markets in various regions and countries,valuation differences,interest rate differences,and exchange rate expectations between different capital markets impact the risk of stock price collapse.Digital transformation deeply integrates enterprises with the economy and society.It can adjust the intensity of the impact of differences in the macroeconomic environment on the risk of stock price collapse.

关 键 词：数字化转型 估值差异 利率差异 汇率预期 股价崩盘风险 调节效应 

分 类 号：F832.5[经济管理—金融学]