股票流动性在中国:基于影响机制的再检验

Stock Liquidity in China:A Retest Based on the Influence Mechanism

在国外主流研究中,学者们已经对股票流动性的影响机制达成共识,即股票流动性主要通过信息效应、治理效应和短视效应3个影响机制对企业行为产生影响。然而,基于中国数据的相关研究并没有对股票流动性的影响机制达成共识。因此,国外关于股票流动性影响机制的成熟观点在中国的适用性以及股票流动性对中国上市企业的真实影响值得深入探讨。基于2003年至2019年的中国上市企业数据,采用OLS多元回归、企业固定效应模型、FamaMacBeth回归、差分模型、倾向得分匹配法、工具变量法和双重差分模型等方法检验股票流动性对中国上市企业的真实影响,并尝试检验信息效应、治理效应和短视效应3个影响机制在中国的适用性。基于中国制度背景的分析,检验股票流动性能提升企业价值的影响机制主要是信息效应和机构投资者的治理效应。对于信息效应,检验知情交易概率的中介效应,并考察信息环境和投资者专业性的调节效应。对于机构投资者的治理效应,主要考察机构投资者的退出威胁。研究结果表明,(1)股票流动性能提升企业价值,该结果经过多种检验方法验证后依然稳健。股票流动性之所以能提升企业价值,更可能是源自信息效应和机构投资者的治理效应,对于大股东的治理效应和短视效应没有得到相关证据的支持。(2)基于信息效应,当信息环境较好或投资者专业性提高后,股票流动性通过信息效应提升企业价值的作用得到强化。(3)关于机构投资者的退出威胁,当管理层持股较多时,管理层更惧怕股价的下跌,此时机构投资者的退出威胁更为明显。(4)关于大股东的治理效应,并未发现股票流动性有利于大股东的形成,即排除了大股东的发声机制;没有发现股票流动性有利于大股东实现退出威胁,排除了源自上市企业被收购压力的短视效应。(5)对于可能存在的机构投资者的短视效应也没有得到证实。因为中国制度背景与国外存在一定的差异,部分影响机制不能在中国起到很强的解释力。通过理论分析和实证检验股票流动性对中国上市企业的真实影响,补充了已有中国股票流动性经济后果的相关研究在解释影响机制上的局限性。

Based on the existing mainstream research outside China,scholars have reached a consensus on the influence mechanism of stock liquidity,that is,stock liquidity mainly affects corporate behavior through threeinfluencemechanisms:information effect,governance effect and short-sighted effect.However,relevant research based on Chinese data has not reached a consensus on the influence mechanism of stock liquidity.Therefore,the applicability of mature theoryoutside China on influence mechanism of stock liquidity in China and the real impact of stock liquidity on Chinese listed companies are worthy of indepthdiscussions.Based on the data of Chinese listed companies from 2003 to 2019,this study uses OLS multiple regression,firm-fixed effects model,Fama-MacBeth regression,change model,Propensity Score Matching,instrumental variable method,difference-indifferences model and other methods to test the impact of stock liquidity on Chinese listed companies,as well as the applicability of the three influence mechanisms of information effect,governance effect and short-sighted effect in China.Based on the analysis of the Chinese institutional context,this study tests that stock liquidity enhances firm value,and its influence mechanism is mainly the information effect and the governance effect of institutional investors.For the test of information effect,this study uses the probability of informed trading as a mediating variable for the mediating effect test and examines the moderating effect of information environment and investor professionalism.For the governance effect of institutional investors,this study focuses on the exit threat of institutional investors.The study reveals that:①Stock liquidity improves firm value.The result remains robust after a variety of testing methods.The reason why stock liquidity can enhance firm value is more likely to be derived from the information effect and the governance effect of institutional investors.Regarding the governance effects of blockholders and short-sighted effects,they are not supported by relevant evidence.②Based on the information effect,when the information environment is better or the professionalism of investors improves,the role of stock liquidity in enhancing firm value through the information effect is strengthened.③Regarding the exit threat of institutional investors,when the management holds more shares,the management is more afraid of falling stock prices.Meanwhile,the exit threat of institutional investors is more obvious.④Regarding the governance effect of blockholders,it has not been found that stock liquidity is conducive to the formation of blockholders,that is,the vocalization mechanism of blockholders is excluded.In addition,it has not been found that stock liquidity is conducive to the exit threat of blockholders.In this regard,the short-sighted effect derived from the pressure of listed companies to be acquired has also been ruled out.⑤The possible short-sighted effects of institutional investors have not been confirmed.Because there are certain differences between China's institutional background and foreign countries,some influence mechanisms cannot be very explanatory in China.Through theoretical analyses and empirical tests,this study examines the real impact of stock liquidity on Chinese listed companies,and supplements the limitations of existing research on the economic consequences of Chinese stock liquidity in explaining the influence mechanism.