2025年6月17日 周二
期刊社主页编辑部首页编委会数据库收录过刊浏览联系我们期刊荣誉
首页 > 过刊浏览>2018年第24卷第2期 >47-65. DOI:10.11835/j.issn.1008-5831.2018.02.005
PDF HTML阅读 XML下载 导出引用 引用提醒
股票流动性与股价崩盘风险:公司治理和短期行为视角
作者:
中图分类号:

F270

基金项目:

国家自然科学基金重点项目"制度环境、公司财务政策选择和动态演化研究"（71232004）；福建省中青年教师教育科研项目"基于企业创新视角的股权结构优化对策研究"（JAS170348）；厦门理工学院社会科学研究项目"产品市场竞争的治理效应实证研究——大股东掏空视角"（YSK13013R）


Stock liquidity and stock price crash risk: Corporate governance and short-term behavior perspective
Author:
  • 摘要
    • | |
  • 访问统计
    • |
  • 参考文献 [58]
    • |
  • 相似文献 [20]
    • | | |
  • 文章评论
    摘要:

    流动性究竟能够稳定市场还是给市场带来危机？文章从股价崩盘风险的视角，探讨了股票流动性与股价崩盘风险的关系，研究发现：股票流动性促进了股价崩盘风险，因而并没有起到稳定市场的作用。随后，从"治理理论"和"短期行为理论"两个角度对影响机制进行探讨，研究发现：在二职合一、独立董事比例较低、短期机构投资者持股比例较高时，股票流动性对股价崩盘风险的正向影响更加显著。研究结论既丰富了股票流动性及股价崩盘风险的相关文献，也给管理层及上市公司从微观视角认识股价崩盘风险提供新思路及借鉴。

    Abstract:

    Whether liquidity is able to stabilize the market or to bring the crisis to the market? The paper discusses,from the perspective of stock price crash risk,the relationship between stock liquidity and stock price crash risk. We conclude that:the stock liquidity may promote the stock price crash risk,and thus does not play a role in stabilizing the market. Subsequently,the paper discusses the influence mechanism from the "governance theory" and "short-termism theory". We conclude that:when the duality exists,the proportion of independent directors is low,the proportion of short-term institutional investors is higher,the positive relationship between stock liquidity and the stock crash risk is more significant. The conclusions enrich the literatures of stock liquidity and stock price crash risk,and discuss the influence factors of stock price crash risk from the micro perspective.

    参考文献
    [1] 许年行,江轩宇,伊志宏,等.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究,2012(7):127-140.
    [2] 王化成,曹丰,叶康涛.监督还是掏空:大股东持股比例与股价崩盘风险[J].管理世界,2015(2):45-57,187.
    [3] BALL R.Market and political/regulatory perspectives on the recent accounting scandals[J].Journal of Accounting Research,2009,47(2):277-323.
    [4] KOTHARI S P,LEWELLEN J,WARNER J B.Stock returns,aggregate earnings surprises,and behavioral finance[J]. Journal of Financial Economics,2006,79(3):537-568.
    [5] MARIN J M,OLIVIER J P.The dog that did not bark:Insider trading and crashes[J].The Journal of Finance,2008,63(5):2429-2476.
    [6] KIM J B,LI Y,ZHANG L D.Corporate tax avoidance and stock price crash risk:Firm-level analysis[J].Journal of Financial Economics,2011,100(3):639-662.
    [7] JIN L,MYERS S C.R2 around the world:New theory and new tests[J].Journal of financial Economics,2006,79(2):257-292.
    [8] HUTTON A P,MARCUS A J,TEHRANIAN H.Opaque financial reports,R2,and crash risk[J].Journal of financial Economics,2009,94(1):67-86.
    [9] 潘越,戴亦一,林超群.信息不透明,分析师关注与个股暴跌风险[J].金融研究,2011(9):138-151.
    [10] PORTER M E.Capital disadvantage:America's failing capital investment system[J].Harvard business review,1991,70(5):65-82.
    [11] FANG V W,TIAN X,TICE S.Does stock liquidity enhance or impede firm innovation?[J].The Journal of Finance,2014,69(5):2085-2125.
    [12] EDMANS A.Blockholder trading,market efficiency,and managerial myopia[J].The Journal of Finance,2009,64(6):2481-2513.
    [13] O'HARA M.Liquidity and financial market stability[R].National Bank of Belgium Working Paper,2004(55).
    [14] BERNARDO A E,WELCH I.Liquidity and financial market runs[J].The Quarterly Journal of Economics,2004,119(1):135-158.
    [15] BRUNNERMEIER M K,PEDERSEN L H.Market liquidity and funding liquidity[J].Review of Financial studies,2009,22(6):2201-2238.
    [16] PÁSTOR L,STAMBAUGH R F.Liquidity risk and expected stock returns[J].Journal of Political Economy,2003,111(3):642-685.
    [17] 苏冬蔚,麦元勋.流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004(2):95-105.
    [18] 黄峰,杨朝军.流动性风险与股票定价:来自我国股市的经验证据[J].管理世界,2007(5):30-39,48.
    [19] HOSHI T,KASHYAP A,SCHARFSTEIN D.Corporate structure,liquidity,and investment:Evidence from Japanese industrial groups[J].The Quarterly Journal of Economics,1991,106(1):33-60.
    [20] 吴卫星,齐天翔.流动性、生命周期与投资组合相异性——中国投资者行为调查实证分析[J].经济研究,2007,42(2):97-110.
    [21] DIAMOND D W,VERRECCHIA R E.Disclosure,liquidity,and the cost of capital[J].The Journal of Finance,1991,46(4):1325-1359.
    [22] ADRIAN T,SHIN H S.Liquidity and leverage[J].Journal of financial intermediation,2010,19(3):418-437.
    [23] GROSSMAN S J,MILLER M H.Liquidity and market structure[J].The Journal of Finance,1988,43(3):617-633.
    [24] CHORDIA T,ROLL R,SUBRAHMANYAM A.Market liquidity and trading activity[J].The Journal of Finance,2001,56(2):501-530.
    [25] 叶康涛,曹丰,王化成.内部控制信息披露能够降低股价崩盘风险吗?[J].金融研究,2015(2):192-206.
    [26] KIM J B,ZHANG L D.Accounting conservatism and stock price crash risk:Firm-level evidence[J].Contemporary Accounting Research,2013,33(1):412-441.
    [27] 吴战篪,李晓龙.内部人抛售、信息环境与股价崩盘[J].会计研究,2015(6):48-55.
    [28] 李小荣,刘行.CEO vs CFO:性别与股价崩盘风险[J].世界经济,2012(12):102-129.
    [29] KIM J B,WANG Z,ZHANG L D.CEO overconfidence and stock price crash risk[J].Contemporary Accounting Research,2016,33(4):1720-1749.
    [30] 许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].管理世界,2013(7):31-43.
    [31] 江轩宇.税收征管、税收激进与股价崩盘风险[J].南开管理评论,2013,16(5):152-160.
    [32] 罗进辉,杜兴强.媒体报道、制度环境与股价崩盘风险[J].会计研究,2014(9):53-59.
    [33] 王化成,曹丰,高升好,等.投资者保护与股价崩盘风险[J].财贸经济,2014(10):73-82.
    [34] KOTHARE M.The effects of equity issues on ownership structure and stock liquidity:A comparison of rights and public offerings[J].Journal of Financial Economics,1997,43(1):131-148.
    [35] ATTIG N,FONG W M,GADHOUM Y,et al.Effects of large shareholding on information asymmetry and stock liquidity[J].Journal of Banking & Finance,2006,30(10):2875-2892.
    [36] DUBOFSKY D A,GROTH J C.Exchange listing and stock liquidity[J].Journal of Financial Research,1984,7(4):291-302.
    [37] DING R,HOU W H.Retail investor attention and stock liquidity[J].Journal of International Financial Markets,Institutions and Money,2015,37:12-26.
    [38] GEMMILL G.Transparency and liquidity:A study of block trades on the London Stock Exchange under different publication rules[J].The Journal of Finance,1996,51(5):1765-1790.
    [39] NG J.The effect of information quality on liquidity risk[J].Journal of Accounting and Economics,2011,52(2/3):126-143.
    [40] BECKER-BLEASE J R,PAUL D L.Stock liquidity and investment opportunities:Evidence from index additions[J]. Financial Management,2006,35(3):35-51.
    [41] BUSHEE B J.The influence of institutional investors on myopic R&D investment behavior[J].The Accounting Review,1998,73(3):305-333.
    [42] BUSHEE B J.Do institutional investors prefer near-term earnings over long-run value?[J].Contemporary Accounting Research,2001,18(2):207-246.
    [43] MATSUMOTO D A.Management's incentives to avoid negative earnings surprises[J].The Accounting Review,2002,77(3):483-514.
    [44] CHUNG K H,ELDER J,KIM J C.Corporate governance and liquidity[J].Journal of Financial and Quantitative Analysis,2010,45(2):265-291.
    [45] EDMANS A,FANG V W,ZUR E.The effect of liquidity on governance[J].Review of Financial Studies,2013,26(6):1443-1482.
    [46] AMIHUD Y.Illiquidity and stock returns:Cross-section and time-series effects[J].Journal of financial markets,2002,5(1):31-56.
    [47] KHAN M,WATTS R L.Estimation and empirical properties of a firm-year measure of accounting conservatism[J]. Journal of accounting and Economics,2009,48(2/3):132-150.
    [48] 张峥,李怡宗,张玉龙,等.中国股市流动性间接指标的检验——基于买卖价差的实证分析[J].经济学(季刊),2013(1):233-262.
    [49] 蒲自立,刘芍佳.公司控制中的董事会领导结构和公司绩效[J].管理世界,2004(9):117-122,130.
    [50] 黄张凯,徐信忠,岳云霞.中国上市公司董事会结构分析[J].管理世界,2006(11):128-134.
    [51] 叶康涛,陆正飞,张志华.独立董事能否抑制大股东的"掏空"?[J].经济研究,2007(4):101-111.
    [52] 赵昌文,唐英凯,周静,等.家族企业独立董事与企业价值——对中国上市公司独立董事制度合理性的检验[J].管理世界,2008(8):119-126,167.
    [53] 薄仙慧,吴联生.国有控股与机构投资者的治理效应:盈余管理视角[J].经济研究,2009(2):81-91,160.
    [54] 刘京军,徐浩萍.机构投资者:长期投资者还是短期机会主义者?[J].金融研究,2012(9):141-154.
    [55] 陈德萍,曾智海.资本结构与企业绩效的互动关系研究——基于创业板上市公司的实证检验[J].会计研究,2012(8):66-71.
    [56] 李维安,李慧聪,郝臣.高管减持与公司治理对创业板公司成长的影响机制研究[J].管理科学,2013,26(4):1-12.
    [57] 刘林,倪玉娟.股市流动性,市场关注度与创业板上市公司转板选择——兼论我国多层次资本市场建设[J]. 证券市场导报,2012(5):57-66.
    [58] PETERSEN M A.Estimating standard errors in finance panel data sets:Comparing approaches[J].Review of financial studies,2009,22(1):435-480.
    引证文献
    网友评论
    网友评论
    分享到微博
    发 布
引用本文

林永坚,曹国华,沈华玉.股票流动性与股价崩盘风险:公司治理和短期行为视角[J].重庆大学学报社会科学版,2018,24(2):47-65. DOI:10.11835/j. issn.1008-5831.2018.02.005

复制
分享
文章指标
  • 点击次数:1331
  • 下载次数: 1151
  • HTML阅读次数: 547
  • 引用次数: 0
历史
  • 收稿日期:2017-10-17
  • 在线发布日期: 2018-02-26
文章二维码

您是本站第 10497135 访问者

通信地址：重庆市沙坪坝区沙正街174号，重庆大学A区

邮编：400044

电话：023-65102306；023-65111861 E-mail：shekexeb@cqu.edu.cn

版权所有：重庆大学学报社会科学版 ® 2025 版权所有