股票etf、公司治理和股价崩盘风险

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-04 DOI:10.1016/j.frl.2025.107726

Qi Wang , Sipeng Wang

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引用次数: 0

摘要

本文以2013 - 2023年中国a股市场非金融类上市公司为样本，系统探讨了ETF持股比例对股价崩盘风险的影响机制和边界条件。实证结果表明，ETF持股比例与股价崩盘风险之间存在显著正相关关系。高质量的内部控制通过提高信息透明度来放大ETF算法驱动的同质化预期。在负面冲击下，这会引发流动性螺旋上升和代理问题，放大崩溃风险。然而，分析师覆盖率通过显著降低ETF持仓变化的风险影响而发挥负向调节作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Equity ETFs, corporate governance and stock price crash risk

This paper systematically explores the influence mechanism and boundary conditions of ETF shareholding ratios on stock price crash risk using a sample of non-financial listed companies in China's A-share market from 2013 to 2023. Empirical results show a significant positive correlation between ETF shareholding ratios and stock price crash risk. High-quality internal controls amplify ETF algorithm-driven homogenized expectations by enhancing information transparency. Under negative shocks, this triggers liquidity spirals and agency problems, magnifying crash risks. Analyst coverage, however, plays a negative moderating role by significantly mitigating the risk impact of ETF position changes.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance