股权质押与股市风险研究——兼论股价波动风险与极端市场风险

Research on Equity Pledge and Stock Market Risk——The Stock Price Fluctuation Risk and the Extreme Market Risk

本文基于2005—2019年中国A股上市公司的公开数据,研究股权质押与股市风险的关系。具体以股权质押为切入点,试图通过理论和实证检验分析控股股东股权质押对股价波动风险与极端市场风险的影响。研究结果表明:(1)控股股东股权质押会加剧股价波动风险,也会增加股票特质风险,股权质押对股价波动风险的影响大于对特质风险的影响;(2)相比于极端上涨市场风险,股权质押对极端下跌市场风险的影响更大,股权质押对危机时期极端下跌市场风险的加剧作用更大;(3)控股股东股权质押后公司融资约束并没有得到缓解,原因是控股股东将融入资金大量用于自身和第三方,只将少量资金用于上市公司。因此,本文结合结论提出了建议,以期在制度、操作等层面更好地规范股权质押业务,为防范化解股权质押风险,促进资本市场健康发展方面提供参考。

Based on the public data of China’s A-share listed companies from 2005 to 2019,this paper studies the relationship between equity pledge and the stock market risk.Specifically,this paper tries to analyze the influence of controlling shareholder’s equity pledge on the stock price fluctuation risk and the extreme market risk through theoretical analysis and empirical testing by taking equity pledge as the starting point.The results are as follows.Firstly,the controlling shareholder’s equity pledge will increase the risk of stock price volatility and also the stock idiosyncratic risk,and the impact on the former is greater than that on the latter.Secondly,equity pledge has a greater impact on the extreme downside risk than on the extreme upside risk,and its effect is more obvious on exacerbating the extreme downside risk in time of crisis.Thirdly,the company’s financing constraints have not been eased after the controlling shareholder’s equity pledge,because the controlling shareholder use a large amount of funds for himself and other third parties,and only a small amount of funds for the listed company.Finally,some suggestions are given to better regulate the equity pledge business and promote the healthy development of the capital market.