摘要
本文基于事件研究法,以2015年股灾作为自然实验,研究了在市场危机爆发时期公司治理能否增强公司股价的稳定性。理论分析表明在股灾期间公司治理能够作用于公司股票流动性的下降幅度,进而减小公司股价所受负面冲击的程度,缓解了证券市场宏观风险爆发所造成的危害。然后选取了A股上市公司在2015年股灾前后的交易数据进行实证研究,发现董事会独立性、董事会规模、股权集中度以及外部治理约束的严格性这些治理特征能够显著影响公司股价在股灾期间的下降幅度。而进一步的检验又表明公司治理也能减轻公司股票流动性在股灾期间所受负面冲击的程度,这是公司治理在股灾时期增强公司股价稳定性的一个重要渠道。
Based on the event study method,this paper uses the 2015 stock market crash as a natural experiment to study whether corporate governance can enhance the stability of the company’s stock price during the outbreak of the market crisis.Theoretical analysis shows that during the stock market crash,corporate governance can act on the decline in the company’s stock liquidity,thereby reducing the negative impact on the company’s stock price,and alleviating the harm caused by the outbreak of macro risks in the securities market.Then we selected the transaction data of A-share listed companies before and after the 2015 stock market crash for empirical research,and finds that the governance characteristics of board independence,board size,equity concentration,and strictness of external governance constraints can significantly affect the degree of declining in company stock prices during the stock market crash.Further tests have shown that corporate governance can also reduce the degree of negative impact on company stock liquidity during the stock market crash.This is an important channel for corporate governance to enhance the stability of the company’s stock price during the stock market crash.
作者
苏建皓
张延良
张笑玎
Su Jianhao;Zhang Yanliang;Zhang Xiaoding
出处
《宏观经济研究》
CSSCI
北大核心
2021年第2期108-124,共17页
Macroeconomics
基金
山东省社会科学规划研究项目“山东省科技创新与现代金融协同发展研究”(19CZKJ19)的阶段性研究成果。
关键词
公司治理
股灾
流动性
市场冲击
事件研究
Corporate governance
Stock market crash
Fluidity
Market shock
Event study
