“一带一路”倡议能降低股价崩盘风险吗?——基于准自然实验的经验研究

Can the Belt and Road Initiative Reduce the Risk of Stock Price Crash?——Empirical Study Based on Quasi-Natural Experiments

股价崩盘风险是资本市场中公司股票收益左偏的程度,除公司治理、市场环境因素外,政策改革因素也可能会造成股价的波动。“一带一路”倡议作为国家重大发展战略,不仅为相关企业的投资项目提供资金支持、优化投资环境,同时也提高了对相关企业信息披露的监管,从而为检验“一带一路”倡议如何影响公司股价崩盘风险提供了良好的准自然实验情境。本文以2011-2018年A股上市公司为样本,基于双重差分模型(DID)实证分析了“一带一路”倡议对股价崩盘风险的影响。研究发现,“一带一路”倡议显著降低了企业的股价崩盘风险。通过安慰剂检验和倾向性得分匹配(PSM)等方法弱化了内生性问题之后,以上结论依然成立,说明“一带一路”倡议和股价崩盘风险降低之间存在因果关系,本文称其为“一带一路”倡议的治理作用。并且,“一带一路”倡议这一治理作用在非国有企业、内部控制较差以及市场化程度较低地区的上市公司中更加显著。进一步研究发现,“一带一路”倡议可以通过提高投资效率与信息透明度等途径降低股价崩盘风险。

The risk of stock price crash is the degree of the negative skew of the company′s stock returns in the capital market. In addition to factors such as corporate governance and the market environment, policy reform may also cause stock price fluctuations. As a major national development strategy, the Belt and Road Initiative(BRI) provides financial support for the investment projects of related enterprises, optimizes the investment environment, and improves the supervision of information disclosure of related enterprises, thus providing a good quasi-natural experimental context for testing how the BRI affects the risk of stock price crash. In this paper, A-share listed companies from 2011 to 2018 were chosen as samples, and the impact of the BRI on the risk of stock price crash was empirically analyzed based on the difference-in-differences model(DID). It is found that the BRI significantly reduces the risk of stock price crash. After the endogenous problem is weakened by the placebo test and propensity score matching(PSM), the above conclusions are still valid, indicating that there is a causal relationship between the BRI and the risk reduction of stock price crash, which is called the role of governance of the BRI in this paper. Moreover, such role is more significant in non-state-owned enterprises and listed companies in areas with poor internal control and low marketization. Further research shows that the BRI can reduce the risk of stock price crash by improving investment efficiency and information transparency. Therefore, this paper is helpful to understand and evaluate the important role of governance of the BRI on listed companies.