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 two phenomena are related.If ETFs exert a negative impact on the stock price crash risk of their constituent stocks,what are the underlying mechanisms?These questions serve as crucial entry points for exploring the relationship between financial innovation and financial risk.Thus,in this study we investigate non-financial companies listed on the A-share market between 2006 and 2019,with data sourced from the Wind and CSMAR databases.We examine whether and how the proportion of ETF holdings affects the stock price crash risks in listed companies,and thus explore the relationship between financial innovation and financial risk.We find that an increase in the ETF ownership ratio intensifies stock price crash risk.Channel analyses show that ETF ownership enhances stock liquidity,thereby attracting more short-term investors and enticing management to conceal negative company news.When accumulated negative news is collectively released,it can trigger a stock price crash.However,external factors such as the imperfect A-share pricing mechanism and analysts'optimistic bias are not the primary reasons for the increased risk of stock price crashes due to ETFs.We also find that the effect of ETFs on stock price crash risk is even more pronounced in companies with more severe agency conflicts,poorer corporate governance,and a higher degree of information asymmetry.This study makes three main contributions.First,by focusing on the corporate governance of micro-level listed companies,we demonstrate that although financial innovation improves stock liquidity,it also fosters opportunistic tendencies in management,ultimately leading to stock price crashes.Our study not only extends the ETF and stock price crash risk literature but also extends the research perspectives by providing local empirical evidence concerning the relationship between financial innovation and financial risk.Second,we construct the instrumental variable based on the adjustment of CSI 300 and CSI 500 indexes,and we test the relationships between various types of ETF ownership ratios and stock price crash risk.These can help deal with potential endogeneity issues and enables us to accurately identify the causal effect of the ETF ownership ratio on stock price crash risk.Third,the study identifies poor corporate governance in the company itself as the underlying mechanism through which ETFs increase stock price crash risk.This indicates that improving corporate governance not only has positive implications for the sustainable development of a company but also has considerable value in terms of maintaining the stability of the financial market.Regulatory authorities can prevent factors from destabilizing the macro financial market by focusing on the governance of micro-level enterprises,thereby contributing to the high-quality development of the economy and the stability of the financial market.
作者
朱菲菲
吴偎立
杨云红
ZHU Feifei;WU Weili;YANG Yunhong(School of Finance,Central University of Finance and Economics;Guanghua School of Management,Peking University)
出处
《金融研究》
CSSCI
北大核心
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。
