大宗交易、信息透明度与崩盘风险

发布时间：2018-09-03 16:15

【摘要】：本文选取我国A股上市公司2002-2015年的数据作为研究样本,分析了大宗交易是否会影响上市公司的股价崩盘风险,并进一步考察了大宗交易在信息透明度存在差异的样本中其降低股价崩盘风险作用所存在的差异。研究发现:(1)大宗交易与上市公司的股价崩盘风险之间存在显著的负相关关系,当上市公司发生大宗交易成交、大宗交易成交金额越大时,上市公司的股价崩盘风险越低,大宗交易作为一种外部市场交易机制能够降低上市公司的股价崩盘风险;(2)在进一步控制了上市公司自身的信息透明度变量之后,大宗交易与上市公司信息透明度交叉项的回归系数依然显著,说明大宗交易降低股价崩盘风险的作用在信息透明程度较低的上市公司中更加显著,进一步支持了大宗交易降低上市公司的股价崩盘风险的效应。
[Abstract]:This paper selects the data of China A-share listed companies from 2002 to 2015 as the research sample to analyze whether the bulk trading will affect the risk of stock price collapse of listed companies. Furthermore, the paper investigates the differences in the role of bulk trades in reducing the risk of stock price collapse in the samples with different information transparency. The results show that: (1) there is a significant negative correlation between bulk trading and the risk of stock price collapse of listed companies. As an external market trading mechanism, bulk trading can reduce the risk of stock price collapse of listed companies; (2) after further controlling the information transparency variables of listed companies, The regression coefficient of the cross-item of information transparency between bulk trading and listed companies is still significant, indicating that the role of bulk trading in reducing the risk of stock price collapse is more significant in listed companies with lower degree of information transparency. It further supports the effect of bulk trading to reduce the risk of share price collapse of listed companies.
【作者单位】：郑州大学西亚斯国际学院;
【分类号】：F832.51

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