货币政策、流动性不足与个股暴跌风险

Monetary Policy,Liquidity Shortage and Stock Price Crash Risk

本文以2004-2012年中国A股上市公司为研究样本,研究货币政策是否影响个股暴跌风险,以及基金和个股流动性不足对货币政策效果的影响。研究结果表明:(1)货币政策紧缩会显著增加个股的暴跌风险;(2)基金流动性不足和个股流动性不足会显著增加紧缩货币政策对股价暴跌风险的影响;(3)其他机构投资者能够缓解紧缩货币政策以及基金流动性不足对股价暴跌风险的影响。本文丰富了股价暴跌风险研究,同时对于货币政策制定及流动性管理有一定的现实意义。

Using a sample of A - share listed firms in China for the period 2004 -2012, this paper investigates the relationship between monetary policy and stock price crash risk, and how the fund liquidity shortage and the stock liquidity shortage influence the relationship. The results find that, the tight monetary policy will signifi- cantly increase stock price crash risk, and the fund liquidity shortage and the stock liquidity shortage will enhance this positive relationship. It is further found that the other institutional shareholding （ other than open - funds shareholding） will reduce the positive influence of the tight monetary and the fund liquidity shortage on stock price crash risk. Our paper helps enrich the literature in stock price crash risk, and also provides implica- tions for both the formulation of monetary policy and the liquidity management.