社会信任的市场稳定效应研究——基于公司股价崩盘风险视角

The Market Stability Effect of Social Trust:Based on the Crash Risk of Corporate Stock Price

社会信任对资本市场的稳健运行具有重要影响。本文利用中国主板市场2003~2014年的数据,检验了社会信任水平与公司股价崩盘风险之间的关系,并分析了不同产权性质、经营状况、市场态势、政府监管质量等市场关联因素影响的异质性。研究发现:社会信任具有降低公司股价崩盘风险的效应,而且该效应对国有控股公司以及在业绩变差、牛市行情时表现得更为明显。同时还发现,政府监管有利于强化社会信任对股价崩盘风险的抑制作用。本文有助于增强社会信任对资本市场稳定性作用的认识,并为解决股价崩盘风险的难题提供理论和经验证据。

Social trust has an important influence to stable and healthy operation of the capital market.Based on the data of 2003-2014 firm-year observations from China’s A-Share capital market,we empirically studys the influence of the level of social trust on the crash risk of stock price and further analyzes differentiated effects under different conditions including ownership,operating conditions,market situation,and government regulation quality,for recognizing specific mechanisms through which social trust may affect the crash risk of stock price.Our results show that social trust can significantly reduce the crash risk of corporate stock price,and this effect is found to be even stronger in SOEs,during the bull market,and in firms with worse performance.Meanwhile,we find that government regulation quality is beneficial to strengthen the inhibitory effect of social trust on the crash risk of stock price.The findings is helpful to enhance the understanding of social trust on the capital market stability,and provide theoretical support and empirical evidence for solving the problem of the crash risk of stock price.