经济周期与金融风险防范——基于股价崩盘视角的分析

Economic Cycle and Financial Risk Prevention:An Analysis from the Perspective of Stock Price Crash Risk

在中国经济转型的关键时期,防范金融风险已成为学术界和实务界关注的重要话题,厘清经济周期与金融风险之间的关系对于防范金融风险至关重要。为此,文章以2011-2017年中国A股上市公司为研究样本,从股价崩盘的角度实证检验了经济周期与金融风险之间的关系。研究发现,企业在经济扩张期间具有更高的股价崩盘风险,企业股价崩盘风险呈现明显的顺周期特征。这种顺周期特征在经济政策不确定性较高时,以及经济发展水平较高的地区比较明显,而行业垄断则显著削弱了企业股价崩盘风险的顺周期特征。机制分析表明,经济扩张周期显著加剧了企业过度投资、盈余管理和金融化,增加了银行贷款,改善了信息环境,从而在一定程度上增加了企业股价崩盘风险。文章的研究不仅丰富了股价崩盘风险领域的文献,更有助于企业和政府正确把握宏观经济发展规律,防范金融风险和促进金融市场稳定发展。

How to prevent systemic financial risks and smoothly promote the New Normal Development of Economy has become an important problem that needs to be solved urgently in the current society under complex and changeable international situation and economic globalization.Chinese economy development presents certain volatility.Macroeconomic expansion not only affects the mental behavior of managers,but also has a certain impact on corporate investment and financing.Eventually,it can affect corporate stock price crash risk.Therefore,taking stock price crash risk as the breakthrough point,this paper explores and clarifies the relationship between economic cycle and financial risks for preventing financial risks and promoting economic stability.Based on this,taking A-share listed companies in China’s capital market from 2011 to 2017 as research samples,this paper empirically tests the relationship between economic cycle and financial risks from the perspective of stock price crash risk.The results show that enterprises have higher stock price crash risk during economic expansion,and stock price crash risk shows obvious pro-cyclical characteristic.This pro-cyclical characteristic is more obvious in regions with higher economic policy uncertainty and higher regional economic development level,while industry monopoly significantly weakens the pro-cyclical characteristic of stock price crash risk.Further investigation shows that the influence path of economic expansion cycle on the risk of corporate stock price crash is to improve corporate over-investment,earnings management,bank loans,corporate financialization and information environment.The possible contribution of this paper is mainly reflected in the following three aspects:First,the existing literature mainly studies economic cycle from the perspective of corporate behavior(Chen,2013;Dang and Wu,2015).Taking stock price crash risk as the breakthrough point,this paper explores the relationship between economic cycle and financial risks from a deeper level,which not only enriches the relevant literature in the field of economic cycle,but also helps to prevent and control financial risks and promote stable economic development.Second,compared with the literature on the influencing factors of stock price crash risk(Yin and Tian,2015;An,et al.,2017),based on the current development status and macro reality of China,this paper empirically tests the relationship between economic cycle and financial risks from the perspective of stock price crash risk.It deepens and expands the research about the influencing factors of stock price crash risk.Third,combined with several situational factors and key mechanisms of the impact of economic cycle on stock price crash risk,this paper enriches the understanding of the issues related to macroeconomic cycle,and at the same time provides a certain reference for the government’s macro-control and corporate optimization of resource allocation in different regions.This paper has the following three policy recommendations:First,investors and managers should actively pay attention to the increase of stock price crash risk caused by economic expansion cycle and its negative effects.It could avoid stock price crash risk caused by blind investment expansion and promote the stability of financial market.Second,government regulators should strengthen policy guidance during economic expansion.Specifically,they should control the market macroscopically to ensure the stability of financing and investment for preventing financial risks.Third,managers and regulators should consider several situational factors such as industry monopoly,economic policy uncertainty and regional economic development level to make reasonable decisions and policy guidance for avoiding financial market turmoil caused by excessive stock price crash risk.