市场约束、商业银行治理与风险的实证研究

发布时间：2018-05-13 22:16

本文选题：市场约束 + 银行治理　；参考：《金融研究》2010年05期

【摘要】：本文用上市银行股价的非系统性波动代表银行治理的信息释放程度,治理越好,信息释放越多,非系统性波动越大。由交易者引起的波动又会向银行内部反馈信息,促使银行管理者调整经营,从而降低银行的破产风险,即市场交易产生市场约束。另一方面我们用上市银行的财务数据测度其破产风险,实证研究发现,股价的非系统性波动和银行的破产风险之间存在显著的负相关关系,即银行治理越好,市场约束越有效。进一步,在有境外战略投资者参与的条件下,市场约束的作用并没有得到显著改善,也就是说,境外战略投资者的存在并没有显著地提高银行治理水平;此外,银行的所有权属性不同会造成其市场约束反应存在明显的差异。
[Abstract]:In this paper, the non-systemic fluctuation of the stock price of listed banks is used to represent the degree of information release of bank governance. The better the governance, the more the information release, the greater the non-systemic volatility. The fluctuation caused by the trader will feedback information to the bank, which will urge the bank manager to adjust the management, thus reduce the risk of bank bankruptcy, that is, the market transaction produces the market constraint. On the other hand, we use the financial data of listed banks to measure their bankruptcy risk. The empirical study shows that there is a significant negative correlation between the non-systemic volatility of stock price and the bankruptcy risk of banks, that is, the better bank governance, the more effective market constraints. Furthermore, with the participation of foreign strategic investors, the role of market constraints has not been significantly improved, that is, the presence of foreign strategic investors has not significantly improved the level of bank governance. Different ownership attributes of banks will cause obvious differences in their market constraint responses.
【作者单位】：复旦大学管理学院;
【基金】：中国社科规划基金(01BJL004) 上海社会科学规划基金(2001BJL007)、(2004FZH003)
【分类号】：F272;F830.33

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