股市制度性政策、股价同步性与崩盘风险研究

The severe stock market downturn in 2015 has deepened worldwide concern about Chinese equity market risk. The high market risk in China often occurs simultaneously with high price synchronicity. A natural question that follows is whether high stock price synchronicity in China is a major reason behind such high market risk. Furthermore, what are the factors that may have caused the high stock price synchronicity? These are important but inconclusive issues in academic research. This project aims to address above two issues. We will carry out our study in three related areas: (1) We study how trading regulations, such as price limit, may have affected the level of price synchronicity as well as the quality of information content of stock prices; (2) We further study the interrelation between price synchronicity and market crash risk as well as the mechanisms through which price synchronicity may lead to the stock market crash risk; (3) Finally we examine the information dissemination process and attempt to understand how companies and financial analysts play their intermediate roles in information generation. In addition, we also aim at understanding how information exchange among institutional agencies and investors in the price discovery process could impact the price synchronicity and market crash risk. Through this research, we aspire to providing a theoretical basis for ways to improve informational content of stock price and to reduce market risk. We will also provide empirical evidence for the effectiveness of market regulation and supervision.

2015股灾再一次引起世界对于中国股市风险的担忧，中国高居的股价同步性是否是隐藏在高风险背后的端倪，而高股价同步性的成因又源自何处？本项目基于上述两个问题展开讨论，主要从三方面进行研究：（1）围绕我国高股价同步性的成因，从股市制度性政策（涨跌板）入手，研究其对我国股价信息含量的影响；（2）将股价同步性与股价崩盘风险纳入同一研究框架，研究高同步性对于崩盘风险的影响及两者的作用机制；（3）从信息传递链条的各个环节，研究信息产生的公司层面、信息传递的分析师中介作用，及股市价格发现中相关制度及机构投资者信息交易行为等对股价同步性与崩盘风险的影响。本课题不仅有助于为我国股价信息含量的提升和股市风险的降低提供理论依据，还为股市政策的指定方及信息传递链条各环节的监管方提高信息效率，促进资本市场健康发展提供理论基础和经验证据。

在股票市场“黑天鹅”事件频发的背景下，本项目从制度性政策这一视角出发，寻找我国股市高股价同步性及其引致的金融风险背后的成因，并从信息传递链条的信息产生、传递到价格发现等环节构建股价信息含量和股价崩盘风险的作用框架，为资本市场信息传递效率及系统风险的防范提供了经验证据和政策建议。.本项目以涨跌停板制度和盈余预测的强制披露政策为主要落脚点，研究了其对股价同步性和股价崩盘风险的影响，为中国股市政策的制定和修改提供理论和实证依据。研究结果发现，股价涨跌停板政策的出台及其限制价格波动的机制增加了股价中的噪音含量，导致限价股票的股价同步性降低，且当涨跌停板的限度越小，股价同步性越低。于此相反，中国特色制度中的管理层盈余预测的强制性披露制度增加了盈余预测的准确度，对降低股价崩盘风险起到了显著作用。.此外，本项目还在法律环境与家族企业治理、管制汇率制度下汇率风险在资产定价中的体现、金融管理制度质量与主权信用风险、企业高管语言的时间感知对企业成本管理的影响、商业银行信息披露对银行系统风险的影响、股票市场通过减少卖出来进行被动的内幕交易等几个方面进行了拓展研究并取得了一系列研究成果。在《Journal of Accounting, Auditing and Finance》、《Journal of Futures Markets》、《Management International Review》、《Pacific Basin Finance Journal》和《Journal of Financial Research》等国际知名期刊上发表论文5篇，待投稿工作论文2篇，参加国内外学术会议15次，培养博士生5名，硕士生19名，较大程度促进了国际学术合作。