“股市黑嘴”与股价崩盘风险——基于中国证券监管行政处罚的实证研究

‘Black Mouth’in the Stock Market and Stock Price Crash Risk——An Empirical Study Based on China Securities Regulatory Administrative Penalties

“股市黑嘴”通过在市场散播诱导性信息,影响投资者行为和股价表现,是典型的信息型市场操纵行为。本文利用中国证监会2008年至2020年披露的148例股市黑嘴操纵案件,实证检验了股市黑嘴操纵对股价崩盘风险的影响,并考察其影响渠道。结果表明股市黑嘴通过在市场上散播虚假信息,提高了市场信息不对称程度,加剧了操纵后的股价崩盘风险。进一步的分析发现,对于股票流动性和信息透明度较好的公司,股市黑嘴操纵对崩盘风险的影响相对较弱。

‘Black mouth’in the stock market influences investor behavior and stock price perfor-mance by spreading inducing information,which is a typical type of information-based market manipula-tion.Based on 148 cases disclosed by the China Securities Regulatory Commission(CSRC)from 2008 to 2020,this paper empirically examines the impact of‘black mouth’manipulation on the stock price crash risk and the underlying channels.The results suggest that the‘black mouth’manipulation increases infor-mation asymmetry and exacerbates the stock price crash risk by spreading false information in the market.Further analysis indicates that the impact of‘black mouth’manipulation on the stock price crash risk is relatively weaker for firms with higher liquidity and information transparency.