摘要
影子银行作为我国金融体系的重要组成部分,对资本市场运作效率产生了重要影响,防范其风险是守住不发生系统性金融风险的底线关键所在。利用2007-2022年中国A股上市公司的数据,构建固定效应模型,探究上市公司影子银行化对股价同步性的影响。研究结论表明:一是上市公司影子银行化程度增加一个标准差时,其股价同步性的平均增长幅度为样本标准差的5.67%;二是上市公司影子银行化会降低资本市场信息传递有效性,表现出股价同步性的提升。异质性分析表明:影子银行化提高股价同步性在非国有、高代理成本、高资产规模且CEO不具备金融背景的企业尤为显著。机制分析进一步说明,上市公司影子银行化催生资本市场中的“羊群效应”、降低机构持股比例推升其股价同步性。为此,应强化金融功能性监管,提高机构投资者专业素养,引导实体企业的“脱实向虚”,回归、聚焦主业,防范“灰犀牛”和“黑天鹅”事件的发生,推动金融服务实体经济对于维护经济稳定发展具有重要意义。
Shadow banking,as an important component of China's financial system,has a significant impact on the efficiency of capital market operations.Preventing its risks is the key to maintaining the bottom line of preventing systemic financial risks.This article uses data from Chinese A-share listed companies from 2007 to 2022 to construct a fixed effects model and explore the impact of shadow banking on stock price synchronicity.The research conclusion shows that:for every 1 unit standard deviation increase in shadow banking,the average increase in stock price synchronicity is equivalent to 5.67%of the sample standard deviation;Shadow banking will reduce the efficiency of information transmission in the capital market and demonstrate an increase in stock price synchronicity.Heterog-eneity analysis shows that shadow banking enhances stock price synchronicity,particularly in non-state-owned enterprises with high agency costs,high asset size,and CEOs without financial background.Mechanism analysis further illustrates that shadow banking has given rise to the“herd effect”in the capital market,and reducing institutional shareholding ratios has driven up stock price synchronicity.Therefore,it is of great significance to strengthen financial functional supervision,improve the professional competence of institutional investors,guide physical enterprises to move from reality to virtuality,return to and gather their main business,prevent the occurrence of“grey rhinoceros”and“black swan”events,promote financial services for the real economy,and maintain stable economic development.
作者
谢婷婷
路坤
Xie Tingting;Lu Kun(School of Finance,Xinjiang University of Finance and Economics,Urumqi 830012;Xinjiang Collaborative Innovation Research Center for Finance and Economics,Xinjiang University of Finance and Economics,Urumqi 830012)
出处
《北方经贸》
2025年第8期88-97,共10页
Northern Economy and Trade
基金
国家社科基金项目(20BMZ150)
新时代党的治疆方略理论与实践研究课题(2024ZJFLY40)
新疆财经大学科研创新项目(XJUFE2025D004)。
关键词
影子银行化
股价同步性
信息披露
“羊群效应”
机构持股比例
Shadow banking
Stock price synchronicity
Inform-ation disclosure
The herd effect
Institutional shareholding ratio
