摘要
随着债券刚性兑付的打破,公司债券负面事件也频繁发生。本文以2014~2022年发生债券负面事件的中国上市公司样本,研究负面事件发生对股票价格波动的影响。研究发现,股票市场对于债券负面事件的发生具有显著的负向反应,发生债券负面事件显著降低了公司股价;异质性分析表明,发生债券负面事件对于债券信用评级低、股权质押程度高以及非国有上市公司的股票价格影响更小;机制分析显示,债券负面事件造成的股价下跌主要来自投资者情绪和市场关注。
Research on the Impact of Negative Bond Events on Stock Prices of Listed Companies With the breaking of rigid bond redemption,negative events of corporate bonds have also occurred frequently.This article uses a sample of Chinese listed companies that experienced negative bond events from 2014 to 2022 to study the impact of negative events on stock price fluctuations.Research has found that the stock market has a significant negative response to the occurrence of negative bond events,and the occurrence of negative bond events significantly reduces the company's stock price.Heterogeneity analysis shows that the occurrence of negative bond events has a smaller impact on bond credit ratings,high equity pledge levels,and the stock prices of non-state-owned listed companies.Mechanism analysis shows that the decline in stock prices caused by negative bond events is mainly due to investor sentiment and market attention.
出处
《浙江金融》
2023年第12期25-37,共13页
Zhejiang Finance
基金
教育部人文社科基金青年项目“债市违约潮与区域信用坍缩:形成机理、分化特征及修复路径”(21YJC790015)。
关键词
债券负面事件
股债联动
股票市场反应
信用评级
Negative Events Related to Bonds
Stock Bond Linkage
Stock Market Reaction
Credit Rating
