摘要
本文采用2011-2018年上市银行样本,实证检验了金融衍生品对股价崩盘风险的影响。研究发现,金融衍生品的使用强度越大,股价崩盘风险越高。机制检验表明,金融衍生品对股价崩盘风险的增强作用在银行内部控制质量薄弱和和信息不对称程度高时更加显著。进一步研究发现,仅在高管薪酬激励水平高、管理层自由裁量权高、非股份制银行、非A+H股上市银行以及低经济政策不确定性的分组中,金融衍生品使用强度与股价崩盘风险显著正相关。本文的研究结论为促进我国银行业合理使用金融衍生品提供了参考。
This paper uses the samples of listed banks from 2011 to 2018 to empirically test the effects of financial derivatives on stock price crash risk.The study found that the greater the intensity of use of financial derivatives,the higher the risk of stock price crash.The mechanism test shows that the effect of financial derivatives on the risk of stock price crash is more significant when the quality of bank internal control is weak and the degree of information asymmetry is high.Further research found that only in the subgroups with high incentive level of executive compensation,high discretionary power of management,non-joint-stock banks,non-A+H-share listed banks and low economic policy uncertainty,the intensity of financial derivatives use was significantly positively correlated with the risk of stock price crash.The conclusion of this paper provides a reference for promoting the rational use of financial derivatives in China's banking industry.
作者
沈歆瑶
Shen Xinyao(School of Accounting,Zhongnan University of Economics and Law,Wuhan 430073,China)
出处
《中南财经政法大学研究生论丛》
2021年第3期40-51,共12页
Journal of the Postgraduates of Zhongnan University of Economics and Law
基金
2019年中南财经政法大学研究生创新课题项目:衍生品对冲与商业银行股价崩盘风险--基于新套期会计准则视角(项目编号:201911105),部分研究成果。
关键词
金融衍生品
股价崩盘风险
银行
Financial Derivatives
Stock Price Crash Risk
Bank
