股权质押融资、非效率投资与股价波动性——基于“中介效应”模型的实证检验

Equity Pledge,Inefficient Investment and Stock Price Volatility:An Empirical Study Based on a Mediating Effect Model

近年来,股权质押融资已成为上市公司股东的主要融资方式之一,在一定程度上增加了股市风险,不利于资本市场的健康发展。本文使用2006—2020年我国A股上市公司数据,检验了上市公司股权质押融资对股价波动的影响及其影响机制。实证结果表明,上市公司股权质押加剧了股价波动,在经工具变量法和倾向得分匹配法等缓解内生性后本文结论依然稳健。此外,机制检验发现,股权质押会通过增加非效率投资加剧股价波动;异质性检验发现,公司治理水平的提升可以缓解股权质押对股价波动的影响。基于以上研究结论,本文从完善股权质押融资制度建设、加强公司外部监管、强化公司内部治理等三方面提出了政策建议,并对中小投资者提出警示。

In recent years,the equity pledge has become one of the main financing methods for shareholders of listed companies,but it is easy to increase the risk of the stock market,which is not conducive to the healthy development of the capital market.This paper examines the impact of listed companies’equity pledge on stock price volatility and its impact mechanism by using the data of China’s listed companies from 2006 to 2020.The empirical results show that the equity pledge will increase the stock price volatility,and the conclusion is still supported after the Instrumental Variable method.The Propensity Score Matching method are used to alleviate the endogeneity problem.Then we found that equity pledge will increase the stock price volatility by increasing the inefficient investments.Finally,the heterogeneity test found that improving corporate governance can alleviate the impact of equity pledge on stock price volatility.Based on the research results,this paper puts forward policy suggestions from three aspects:perfecting the construction of the equity pledge system,strengthening the external supervision,increasing the level of internal corporate governance,and provides enlightenment for investors.