市场约束、商业银行治理与风险的实证研究

The Empirical Study on the Market Discipline,the Commercial Bank Governance and Insolvency Risk

本文用上市银行股价的非系统性波动代表银行治理的信息释放程度,治理越好,信息释放越多,非系统性波动越大。由交易者引起的波动又会向银行内部反馈信息,促使银行管理者调整经营,从而降低银行的破产风险,即市场交易产生市场约束。另一方面我们用上市银行的财务数据测度其破产风险,实证研究发现,股价的非系统性波动和银行的破产风险之间存在显著的负相关关系,即银行治理越好,市场约束越有效。进一步,在有境外战略投资者参与的条件下,市场约束的作用并没有得到显著改善,也就是说,境外战略投资者的存在并没有显著地提高银行治理水平;此外,银行的所有权属性不同会造成其市场约束反应存在明显的差异。

This paper uses unsystematic fluctuation of listed bank＇s share price to stand for bank＇s information release degree. The study shows that investors caused fluctuations would be to the bank internal feedback to push them adjust operational policy, so that the insolvency risk will decrease, that is to say, market transactions produce market constraint. Meanwhile, the authors use banks＇ financial data to measure their insolvency risk and find that there is a significant negative relationship between the unsystematic fluctuation of listed bank＇s share price and bank＇s insolvency risk, in other words, the better the commercial bank governance, the more effective the market discipline. Further researches show that foreign strategic investor will not improve the bank＇s governance significantly, but the different ownership structures of banks will do.