产权性质、股票流动性与股价崩盘风险

The Nature of Property Rights,the Liquidity of Stocks and Stock Price Crash Risk

从市场微观结构的视角,研究我国上市公司股票流动性对未来股价崩盘风险的影响,并结合公司最终控制人性质进行剖析,发现股票流动性有助于降低股价崩盘风险,但国有上市公司股票流动性与股价崩盘风险之间的负相关关系显著较弱。进一步分析表明,股价崩盘风险与权益资本成本呈显著正相关关系,在股票流动性较高的公司,这种正相关关系较弱。本文研究结论表明,只有继续深化国有企业改革、优化股权结构与公司治理并加强制度建设,才能增强市场流动性、降低股价崩盘风险并促进股市健康发展。

From the perspective of market microstructure,this paper studies the effects of the liquidity of stocks of Chinese listed companies on future stock price crash risk,analyses the final controllers of the companies and finds that the liquidity of stocks is conductive to reducing the risk of stock price crash but the negative correlation between the liquidity of stocks of state-owned listed companies and the risk of stock price crash is significantly weak.Further analysis indicates that positive correlation exists between the risk of stock price crash and the cost of equity capital.In the companies where the liquidity of stocks is relatively high,the positive correlation is relatively weak.The research conclusion of this paper shows that the market liquidity can be strengthened,the risk of stock price crash be reduced and the healthy development be promoted only by continually deepening the reform of state-owned enterprises,optimizing equity structure and intensifying system construction.