[1]赵林丹,梁琪.企业金融化与股价“同涨同跌”现象[J].南开经济研究官网,2021,(02):10.
 Zhao Lindan and Liang Qi.Corporate Financialization and Stock Price Synchronicity[J].Nankai Economic Studies,2021,(02):10.
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企业金融化与股价“同涨同跌”现象(  )
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《南开经济研究》官网[ISSN:1001-4691/CN:12-1028/F]

卷:
期数:
2021年02
页码:
10
栏目:
出版日期:
2021-04-22

文章信息/Info

Title:
Corporate Financialization and Stock Price Synchronicity
作者:
赵林丹梁琪
赵林丹,南开大学经济学院(邮编:300071),E-mail:zhaolindan0518@163.com;梁琪(通讯作者),南开大学经济学院(邮编:300071),E-mail:liangqi@nankai.edu.cn。
Author(s):
Zhao Lindan and Liang Qi
(School of Economics,Nankai University,Tianjin 300071,China)
关键词:
企业金融化股价“同涨同跌”信息披露委托代理
Keywords:
Corporate FinancializationStock Price SynchronicityInformation DisclosurePrinciple-agent
摘要:
根据2008—2018年企业金融化数据与股价同步性数据,本文实证研究了企业金融化对股价“同涨同跌”的影响。研究发现随着企业金融化程度的增加,股价同步性先下降后上升,即两者呈现U型关系。机制检验发现,出于预防性动机的金融化对股价同步性的影响表现出“披露效应”,能够提高信息披露质量,从而抑制股价同步性;出于投机性动机的金融化则表现出“遮掩效应”,可能恶化委托代理问题,从而促进股价同步性。进一步分析发现,企业金融化与股价同步性之间的U型关系仅存在于熊市行情下,相对于牛市行情,企业金融化在熊市行情下更容易加剧股价“同涨同跌”;除了受到内部因素的影响,企业金融化在外部经济政策不确定性低的情形下更容易发挥抑制股价同步性的作用;此外,不同行业下企业金融化影响股价同步性也存在异质性。本文有助于客观看待企业金融化趋势,对于防范资本市场“同涨同跌”的系统性风险具有参考价值。
Abstract:
Based on the data of corporate financialization and stock price synchronicity from 2008 to 2018, this paper empirically studies the impact of corporate financialization on the stock price synchronicity. The study finds that with the increase of corporate financialization, the stock price synchronicity first decreases and then increases, that is, the relationship between the two shows a U-shaped relationship. The mechanism test shows that the effect of financialization with preventive motive on stock price synchronicity shows "disclosure effect", which can improve the quality of information disclosure and restrain the stock price synchronicity; while the financialization with speculative motivation shows a "masking effect", which may worsen the agency problem and promote the synchronicity stock price. Further analysis shows that the U-shaped relationship between corporate financialization and stock price synchronicity only exists in the bear market. Compared with the bull market, corporate financialization is more likely to aggravate the stock price synchronicity in bear market. Besides being affected by internal factors, corporate financialization is more likely to play a role in restraining the stock price synchronicity when the external economic policy uncertainty is low. In addition, there is heterogeneity in the impact of corporate financialization on stock price synchronicity in different industries. This paper helps to view the trend of corporate financialization objectively, and has reference value for preventing the systemic risk of stock price synchronicity in the capital market.

相似文献/References:

[1]肖忠意,林琳,陈志英,等.企业金融化与上市公司创新研发投入——基于董事会治理与创新文化的调节作用的实证分析[J].南开经济研究官网,2021,(01):143.
 Xiao Zhongyi,Lin Lin,Chen Zhiying and Xu Dingbao.Financialization of Non-financial listed Firm and Innovation Input: Interaction Effects of Board Governance and Enterprise Innovative Culture[J].Nankai Economic Studies,2021,(02):143.

更新日期/Last Update: 2021-04-19