政府干预、所有权性质与股价崩盘风险

Government Intervention,the Nature of Ownership and Stock Price Crash Risk

中国股市因为受到政府行为的重大影响而常常被认为是“政策市”。本文研究了政府干预和公司所有权性质及其交互作用对中国上市公司股价崩盘风险的影响。研究发现，地区政府干预水平越高，地方国企的股价崩盘风险越大，但没有证据表明地区政府干预水平对非国有控股公司和央企的股价崩盘风险有显著影响；平均来看，国有控股公司（尤其是央企）的股价崩盘风险低于非国有控股公司，地区政府干预水平的增加会弱化国有控股公司（尤其是地方国企）股价崩盘风险低于非国有控股公司的趋势。这些结果表明，政府干预和公司所有权性质及其交互作用对于股价崩盘风险具有重要影响。本文既丰富了股价崩盘风险影响因素的研究，也丰富了政府干预经济后果的研究，还丰富了所有权经济后果的研究；本文的研究结论对于监管者、地方政府和投资者也具有重要的参考价值。

This paper investigates the effects of government intervention and the nature of ownership on stock price crash risk of Chinese listed companies.We show that an increase in government intervention leads to an increase in stock price crash risk,but this positive relation only exists in the local government controlled enterprises.On average,the statecontrolled enterprises'(especially the central government controlled enterprises')stock price crash risk is higher than the non-state-owned enterprises'and this relation,which especially between the local government controlled enterprises'and the non-state-owned enterprises,is less pronounced in provinces with more government intervention.The local government controlled enterprises'stock price crash risk is higher than the central government controlled enterprises'and this relation is more pronounced in provinces with more government intervention.Our results highlight the important role that government intervention and the nature of ownership in shaping stock price crash risk.This paper makes contributions to the literature of stock forecasting price crash risk and the economic consequences of government intervention and corporate ownership.The evidences provided by this study have important implications for regulators,local governments and investors.