摘要
股价崩盘事件时有发生,并且存在明显跨市场传染性,加剧了股价崩盘的负面影响。本文基于A股上市公司大样本实证检验以及保险类公司案例分析,研究中国上市公司间股价崩盘传染性。检验结果显示:A股公司股价崩盘存在明显传染性,导致同行业公司下一周收益率显著降低、同行业公司下一周股价崩盘率显著增加;并且大公司、央企较其他公司对同行业公司传染效应更强。本文验证了资本市场内部股价崩盘传染性,并且存在传染效应不对称性。基于此,本文建议提高上市公司信息透明度、完善股价异常波动监管机制、差异化对待股价崩盘事件来应对股价崩盘传染风险。
Share price crashes occur frequently, and there is a clear cross-market contagion that exacerbates the negative impact of stock price crashes. This paper takes listed companies in China as the samples to empirically test the contagion of stock price crash, and makes a case study based on Insurance listed companies. The results show that the stock price crash of Chinese listed companies is contagious, which leads the stock returns of other companies in the same industry are significantly reduced, and the stock price crash rate is significantly increased. Moreover, the contagion effect of big companies and central enterprises is stronger than other companies. This paper verifies the contagion of stock price crash in the capital market and the asymmetry of the contagion effect. Based on the conclusions of this study, we try to deal with the contagion risk of stock price crash by enhancing the transparency of listed companies, improving the supervision of stock price abnormal volatility, and making differential treatments of stock price crash.
出处
《企业经济》
CSSCI
北大核心
2017年第11期173-179,共7页
Enterprise Economy
基金
2016年安徽省哲学社会科学青年项目"制度距离
进入壁垒与安徽省区域产业融合研究"(项目编号:AHSKQ2016D49)
2017年安徽省教育厅高校人文社会科学项目"CFO履职环境
离职事件与会计信息质量影响研究"(项目编号:SK2017A0277)
2016年安徽省社会科学普及规划项目"基于大数据的社科普及表达模型及其理论基础"(项目编号:Y2016005)
关键词
股价崩盘
传染效应
非对称性
stock price crash
contagion effect
asymmetry
