摘要
本文从金融市场视角出发,创新性地利用Log-ACD模型、EGARCH模型、蒙特卡洛模拟法对股票市场韧性进行度量,在得到可靠韧性指标后,采用双向固定效应模型、中介效应模型系统性地论证了股票市场韧性对上市企业技术创新的理论假说、影响效果和作用机制。研究发现:(1)股票市场韧性的增强可以显著提升上市企业技术创新产出和效率,这一结果在更换技术创新度量指标、更换回归模型、控制随时间变化的解释变量因素、控制随和不随时间变化的行业或省份固定效应、面板交互固定效应以及工具变量估计等一系列稳健性检验后仍成立。(2)机制检验表明,股票市场韧性的增强不仅可以缓解企业技术创新面临的融资约束问题,增强大股东的风险承担水平,而且有助于机构投资者进入企业、显著优化企业的股权制衡,这些共同对上市企业技术创新水平施加积极影响。(3)扩展检验表明,与非高新技术企业、国有企业、境外上市企业相比,股票市场韧性对高新技术企业、非国有企业、境内上市企业的技术创新具有更为明显的正向激励作用。本文还根据研究结论就如何提高中国股票市场韧性,更好服务企业技术创新,提出了相关政策建议。
In December 2018,the Central Economic Work Conference clearly pointed out that the capital market plays a leading role in financial operations,and we need to deepen reform to create a standardized,transparent,open,dynamic,and resilient capital market.Compared with many major documents of the Party Central Committee and the State Council,as well as the spirit of previous meetings,the prominent feature of this meeting is that it first proposed the concept of building a“resilient”capital market at the national strategic level based on the original four characteristics of the capital market.Its status and importance are self-evident.Moreover,as an important component of the capital market,from a narrow perspective,the essence of building a resilient capital market lies in building a resilient stock market.The healthy and stable development of the stock market is crucial for serving the real economy and achieving high-quality economic development.Improving the technological innovation ability of enterprises and adhering to the core position of innovation in modernization construction is the key to high-quality economic development in China.As a key institutional arrangement to smooth the circulation of technology,capital,and the real economy as well as accelerate the transformation of scientific and technological achievements into productivity,the function of the stock market in serving the high-quality development of the economy should mainly be reflected in improving the compatibility between the financial system and technological innovation,accelerating the formation of technological innovation capital,and improving the level of technological innovation of listed enterprises.Resilience is one of the most important components of the capital market.Our study aims to explore the inherent logic between stock market resilience and enterprise technological innovation.To do so,we start from the perspective of the financial market and innovatively use the log-ACD model,EGARCH model,and Monte Carlo simulation method to
作者
温军
李凌霄
Zhou Xiaozhou
WEN Jun;LI Lingxiao;ZHOU Xiaozhou(School of Economics and Finance,Xi’an Jiaotong University;Department of Finance,School of Management,University of Quebec at Montreal)
出处
《数量经济技术经济研究》
CSCD
北大核心
2023年第10期137-158,共22页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金面上项目(72074176,72274132)
“一带一路”创新人才交流外国专家项目(DL2022170001L)的资助。
关键词
股票市场韧性
技术创新
融资约束
风险承担
股权治理
Stock Market Resilience
Technological Innovation
Financing Constraints
Risk Sharing
Equity Governance
