信息披露质量对上市银行稳定性的效应研究

发布时间：2018-10-17 14:29

【摘要】：银行信息披露质量不良可以导致金融危机的发生和蔓延。如果投资者无法判断银行面临的风险,面对系统压力时将收回贷款,加剧银行危机。次贷危机中信息不对称所带来的灾难就是最有力的证明。我国信息披露制度形成较晚,大多研究针对信息披露内容展开,鲜少将信息披露质量量化。信息披露质量逐渐优化,银行稳定性随时间也在逐渐增强,探索信息披露与银行稳定是否存在关系,是在从新的角度考量银行稳定的因素的研究。本文通过实证分析,证明了信息披露质量对银行稳定性存在正效应,随着规模增大,信息披露质量的影响也增强。首先,本文从理论分析入手,分析了我国商业银行稳定性的直接影响因素以及信息披露质量对其作用机理。投资者需要银行提供关于投资者所面临风险的信息,这样才能有效评估风险并承担风险。如果危机发生时,投资者没有足够准确的信息来评估风险,将导致融资成本增加,加剧危机。由此导致市场纪律机制不能正常运行,银行系统杠杆率将增加,银行系统脆弱性也随之增加。并且,信息披露欠缺会导致监管部门失察,严重妨碍自由市场内在约束力的效果。银行管理层缺少监督,将可能选择高风险高回报投资,或造成不良资产的增加,使银行的稳定性降低。其次,研究通过构造代理变量,衡量信息披露质量以及银行稳定性程度。通过对我国信息披露的理论分析,选取20个信息披露质量指标,建立了信息披露质量指数Index,选取中国16家上市银行过去十年的数据,对我国商业银行信息披露质量进行了描述性分析。随后,建立距离破产风险概率指数Z-score,分析我国商业银行稳定性,分别从国有银行与非国有银行衡量,发现二者的相似与差异。最后,建立面板回归模型。对变量序列进行了单位根检验,并针对序列间相关性的判断进行了协整检验。通过对变量系数进行估计,证明信息披露质量对银行稳定的影响。建立固定效应模型,并对模型进行稳健性检验。由于国有银行与非国有银行的稳定性差异,选择构造虚拟变量,检验信息披露质量对二者的效应。由于银行规模不同,银行稳定性不同,将商业银行按规模分类,并再次检验,研究信息披露质量对不同规模的商业银行稳定性的影响。根据研究结果,建议我国商业银行加强信息披露质量,改善信息披露准确性,推进银行监管制度的提高,才能有效地推进我国银行业的稳定壮大。
[Abstract]:The poor quality of bank information disclosure can lead to the occurrence and spread of financial crisis. If investors are unable to judge the risks faced by banks, they will withdraw their loans in the face of systemic pressure, exacerbating the banking crisis. The disaster caused by the information asymmetry in the subprime mortgage crisis is the most powerful proof. The system of information disclosure in our country was formed late, most of the research focused on the content of information disclosure, and the quality of information disclosure was quantified. The quality of information disclosure is gradually optimized and the stability of banks is gradually enhanced over time. To explore the relationship between information disclosure and bank stability is to study the factors of bank stability from a new perspective. This paper proves that the quality of information disclosure has a positive effect on the stability of banks by empirical analysis, and the effect of information disclosure quality increases with the increase of scale. First of all, this paper analyzes the direct influence factors of the stability of commercial banks and the mechanism of the quality of information disclosure. Investors need banks to provide information about the risks they face in order to effectively assess and take risks. If the crisis occurs, investors do not have enough accurate information to assess the risk, will lead to increased financing costs, exacerbating the crisis. As a result, market discipline will not work properly, the leverage ratio of the banking system will increase, and the vulnerability of the banking system will also increase. Moreover, lack of disclosure can lead to oversight by regulators, seriously hampering the inherent binding effects of free markets. A lack of supervision on the part of bank management may result in high risk and high return investment or an increase in non-performing assets, making banks less stable. Secondly, the research measures the quality of information disclosure and the degree of bank stability by constructing agent variables. Based on the theoretical analysis of information disclosure in China, this paper selects 20 information disclosure quality indicators and establishes the information disclosure quality index (Index,) to select the data of 16 listed banks in China in the past ten years. The quality of information disclosure of commercial banks in China is analyzed in a descriptive way. Then, the probabilistic index Z-scoreis is established to analyze the stability of commercial banks in China. The similarity and difference between state-owned banks and non-state-owned banks are found. Finally, the panel regression model is established. The unit root test and the cointegration test for the correlation between the variables are carried out. The influence of information disclosure quality on the stability of banks is proved by estimating the coefficient of variables. The fixed effect model was established and the robustness of the model was tested. Because of the stability difference between state-owned banks and non-state-owned banks, we choose to construct virtual variables and test the effect of information disclosure quality on them. Due to the different scale of banks and the different stability of banks, the commercial banks are classified according to the scale and tested again to study the influence of the quality of information disclosure on the stability of commercial banks of different scales. According to the research results, it is suggested that Chinese commercial banks should strengthen the quality of information disclosure, improve the accuracy of information disclosure, and promote the improvement of banking supervision system, so as to effectively promote the stability and growth of our banking industry.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33;F830.42

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