摘要
股权质押给股票市场带来较大风险,那么限制股权质押比例能否起到稳定股票市场的作用呢?本文基于“质押新规”这一自然实验,采用倾向得分匹配法和双重差分模型,从股票收益率、波动率、停牌交易日占比和非流动性四个方面研究股权质押比例限制对股票市场的影响,从公司治理和股东持股角度进行了机制分析,并进一步考察了质押比例限制对低质押比例企业造成的溢出影响。研究发现,短期看,设定质押比例上限对个股的收益率和流动性存在负向冲击,对个股的波动率存在正向冲击,股权质押比例限制总体上降低了股票市场稳定性。“质押新规”对控制权转移风险较大的企业的个股收益率产生了负向冲击,对控制权转移风险较小的企业的个股非流动性存在正向冲击;尽管“质押新规”针对的是高质押比例企业,但对低质押比例企业也产生了冲击。“质押新规”的负向冲击主要通过盈余管理和股东持股比例变动向市场传递。因此,应对股权质押风险,需要关注企业的盈余管理等经营状况和股东持股比例的变动,并防范溢出效应造成的风险传染。
Stock pledge will pose great risks to the stock market,so will limiting the stock pledge ratio stabilize the stock market?Based on the quasi-natural experiment of pledge ratio limit,this paper explores the influence of pledge ratio limit on the stock return,stock volatility,illiquidity and the proportion of trading suspension days via propensity score matching(PSM)and Differences-in-Differences model.In order to get a full picture of how the limit influences the stock market,we conduct mechanism analysis based on corporate governance and shareholders'behavior.Furthermore,we consider the spillover effect on firms with a low stock pledge ratio.The results are:in short term,the limit has negative impact on stock return and liquidity while positive impact on stock volatility.The regulation has more negative sway on the stock return of firms facing greater risk of corporate control transfer and on the liquidity of firms at less risk.Although the targets of the regulation are firms with the stock pledge ratio over 50%,the regulation also has spillover effect on firms with a low stock pledge ratio.The impact of the regulation is felt by the stock market via earnings management and shareholders'trading.Therefore we should keep a close eye on earnings management and shareholders'trading to guard against the risk spread caused by the spillover effect.
作者
熊海芳
谭袁月
王志强
XIONG Haifang;TAN Yuanyue;WANG Zhiqiang(Dongbei University of Financial and Economics, 116025)
出处
《财贸经济》
CSSCI
北大核心
2020年第7期114-129,共16页
Finance & Trade Economics
基金
国家社会科学基金重大项目“宏观经济稳增长与金融系统防风险动态平衡机制研究”(19ZDA094)
国家自然科学基金项目“股市极端波动中流动性螺旋的微观机制与治理研究”(71873023)
国家自然科学基金青年项目“金融风险溢价与货币政策:目标关联、冲击传导与最优规则选择”(71503034)。
关键词
股权质押
市场稳定
双重差分
溢出效应
Stock Pledge
Market Stability
Difference-in-Differences
Spillover Effect
