摘 要
国内证券市场经过30多年的改革发展，已逐步走向成熟，制度建设不断规范，市场容量不断扩大。但当下依旧存在不少干扰金融市场秩序的现象，特别是2015年夏季a股经历了暴涨之后的暴跌，一次次出现的千股跌停现象，导致了金融市场的不稳定性逐渐变大，非常不利于投资者获取利益，也打击了我国众多股民的信心，甚至对实体经济行业都产生了不利影响。同时，很多资本市场的参与者正密切关注着股市崩盘的风险。尤其是对于资本市场的监管机构来说，股价崩盘风险及其传染效应产生的后果，与其为稳定资本市场和保护投资者利益所做的努力有着非常直接的关系。这篇文章正是从股市崩盘风险的角度出发，研究退市监管对于现金股市的影响。主要针对两年前深圳证券交易所和上海证券交易所推出的关于退市的新规定进行研究，这个新的规定相较于之前的退市规定更加严格。基于科学实证法探讨信息环境、公司业绩同股价崩盘的风险问题，主要对2016-2019年的a股上市公司财务、行情等方面数据进行收集，并运用STATA 将收集到的数据进行处理分析后再使用描述法进行统计，对其相关性做出研究，使用多元回归分析的统计方法来验证模型的正确性。
本文的研究发现：这个新规定在没有正式施行之前，股市上的公司股价存在着较大的崩盘风险，而该规定实施后，这种风险明显降低，这也就意味着退市规定对股市崩盘起到了一定的监管作用。资本市场上，存在股价的猛涨与疯跌是非常正常的，而股市暴跌的情况下，风险层层累积，最终会使资本市场的正常运行受到打击，还会影响股民的资产安全。所以相关部门、专家以及股市内的股民应该重视起这样的现象。退市监管降低上市公司股价崩盘风险，主要是通过业绩提升而非操纵信息披露和盈余管理发挥作用。
科学实证法进一步研究发现，更低的企业代理成本、更好的信息透明度，还有更加强大的外界环境的监督管理，这样才能使退市规定对股市崩盘风险的监管更加有效，从而保证市场平稳运行以及保护企业的发展。总结上述研究成果，不难发现，要想股市内上市公司的信息更加公开透明，维持好资本市场的正常运作，就要对退市进行严格管控。此篇文章以研究结果为依据，根据我国资本市场以及制度规定的实情，对股票市场的管控政策改进提出了一些建议，并且总结了文章研究的一些缺点，对未来的研究做出了规划。
本文从宏观市场监管的角度研究了上市公司倒闭风险的影响因素，拓展了研究领域的视角，传统文献主要集中在上市公司内部动机和外部动机，还有控制股票的组织，主要包括分析师和机构的投资专业人员等方面。从利润的角度来看，监管者作为一个市场主体备受忽视，而监管部门对市场信息披露环境具有重要的惩戒权和监督作用，控制导致股票价格下跌的背后力量也需引起重视。这样，就有必要深入研究监管机构形成的宏观治理的作用。另一方面，本研究也有其局限性。本文错误地辩护，在无视管理者的条件下，以某些财务指标作为退市条件来衡量公司风险，并“炫耀盈余质量和公司信息，其做法是扭曲的”。我们可以充分验证持续一年的“保壳运动”的观点，多极化的退市指标可以减少这一方向的扭曲，退市制度可以发挥的预期作用比控制多方面的一般作用更大。在本文的实证研究设计中，由于不可能观察到市场退出指标的出现，因此只需要对金融退出指标的波动进行度量，完全体现了2018年新的退出规则的治理效果。 根据实际调查结果，再次提出了一些具体性的意见。
而本篇文章较为创新的地方主要突出在两点：首先，本文研究视角有所不同，由主客观因素的影响转变为宏观环境的影响。如今，与上市公司股票股价崩盘风险相关的研究文章主要着重于对上市公司本身的研究、对其内部人员以及受股市崩盘影响相关的方面进行分析，缺少从政策制度这一宏观角度来分析上市公司股价崩盘风险所产生影响。其次，对退市制度的处理有所不同。而通过对有关退市风险的文章进行研究，发现其内容大多注重退市机制对于上市公司退市所产生的影响。包括应计盈余管理和相关利益者的利益输送等，但有关退市制度的变迁对资本市场及其上市公司信息环境等的治理作用的研究较为少见。本文则在这方面增加新的经验证据。
关键词： 退市监管；股价崩盘风险；盈余管理；双重差分方法
ABSTRACT
Although domestic market has gradually standardize and rapid development, but there are some issues disturbing the order of financial markets, especially China's stock market has experienced a surge in 2015 after the crash, thousands of shares drop stop the phenomenon of repeated over and over again, for the interests of investors, public confidence in the stock market in our country, the stability of financial markets and the development of the real economy has caused negative influence. The risk of stock price crash has become the object of concern of each participant in the capital market. For capital market regulators in particular, the risk of a crash in share prices and its contagion effects are very directly related to their efforts to stabilize capital markets and protect the interests of investors. Based on the company's share price collapse risk this Angle of view to explore the governance effect of delisting regulation, the shenzhen stock exchange and Shanghai stock exchange in 2018, introduced stricter than before "retreat city new rules" as A natural experiment, based on the scientific empirical method to investigate the information environment, the company's performance with the stock price crash risk issues, mainly on the 2016-2019 a-share listed company's financial and market data are collected, and using STATA data analysis software for processing, Descriptive statistics, correlation analysis, multiple regression analysis and other statistical and econometric methods were used to test the correctness of the theoretical model.
The research of this paper finds that compared with before the implementation of the new delisting rules, the risk of stock price crash of the listed companies affected by the new delisting rules is lower after the new delisting rules, indicating that the delisting regulation can reduce the risk of stock price crash. Stock price boom and crash, is an important phenomenon in the capital market. The accumulation of crash risk caused by the collapse of stock prices has a negative impact on the smooth operation of the capital market and the property safety of investors to a considerable extent. Therefore, the regulatory authorities, investors and the academic field have paid extensive attention to this phenomenon. Delisting regulation reduces the risk of stock price crash of listed companies mainly through performance improvement rather than information disclosure manipulation and earnings management.
Further research by scientific empirical method finds that lower agency costs, better information transparency, and better external governance supervision can better play the role of delisting supervision in reducing the risk of stock price crash, and ultimately improve the efficiency of market pricing and enterprise value. The above research results indicate that stricter delisting supervision plays an important and positive role in improving the information transparency of listed companies and maintaining the good operation of the capital market. According to the research conclusions of this paper, and combined with the actual situation of the development of China's capital market and related systems, some policy suggestions are put forward. At the same time, the deficiencies of this paper are analyzed on the whole and the direction for further research is pointed out.
This paper studies the factors that influence the failure risk of listed companies from the perspective of macro-market regulation, and expands the perspective of the research field. Traditional literature mainly focuses on the internal and external motivations of listed companies, as well as the control system (analysts and institutional) investors and other relevant parties). From the point of view of profits, the regulator has been neglected as a market agent. The regulatory authorities have the important power of punishment and supervision over the market information disclosure environment, and the shadow of the "visible hand" of the risk of the stock price crash of listed companies cannot be ignored. Thus, it is necessary to further study the role of macro-governance formed by regulators. On the other hand, this study also has its limitations. This paper falsely defends the practice of using this financial measure as an exit condition to venture firms and "showing off earnings quality and corporate information is distorted" under the exit manager condition. We can fully verify the idea of a year-long "break-even movement," that multipolarity and delisting indices can reduce distortions in this direction, and that delisting regimes can be expected to play a greater role than the general role of controlling many aspects. In the empirical research design of this paper, since it is impossible to observe the emergence of market exit indicators, only the fluctuations of financial exit indicators need to be measured, which fully reflects the governance effect of the new exit rules in 2018. Then this paper puts forward countermeasures and suggestions based on the empirical results.
The research innovation of this paper is mainly reflected in two aspects: First, the research perspective of this paper is different, from the influence of subjective and objective factors to the influence of macro environment. The existing literature mainly studies the impact of listed companies on stock price crash risk from the aspects of listed companies themselves, their insiders and stakeholders in the market (such as institutional investors and analysts), while few studies verify the impact of listed companies on stock price crash risk from the perspective of macro-institutional environment. Secondly, the treatment of delisting system is different. From delisting regulation related literature, past research mostly focused on the analysis of the delisting system of the related factors influencing the revocation of special treatment of listed companies, including accrued earnings management and the interests of stakeholders, etc., but about the changes of the delisting system for capital markets and its effect on the information environment of governance of listed company of the study is relatively rare. This paper adds new empirical evidence in this regard.
KEYWORDS：Delisting supervision; Stock price crash risk; Earnings Management; Dual difference method
国内证券市场经过30多年的改革发展，已逐步走向成熟，制度建设不断规范，市场容量不断扩大。但当下依旧存在不少干扰金融市场秩序的现象，特别是2015年夏季a股经历了暴涨之后的暴跌，一次次出现的千股跌停现象，导致了金融市场的不稳定性逐渐变大，非常不利于投资者获取利益，也打击了我国众多股民的信心，甚至对实体经济行业都产生了不利影响。同时，很多资本市场的参与者正密切关注着股市崩盘的风险。尤其是对于资本市场的监管机构来说，股价崩盘风险及其传染效应产生的后果，与其为稳定资本市场和保护投资者利益所做的努力有着非常直接的关系。这篇文章正是从股市崩盘风险的角度出发，研究退市监管对于现金股市的影响。主要针对两年前深圳证券交易所和上海证券交易所推出的关于退市的新规定进行研究，这个新的规定相较于之前的退市规定更加严格。基于科学实证法探讨信息环境、公司业绩同股价崩盘的风险问题，主要对2016-2019年的a股上市公司财务、行情等方面数据进行收集，并运用STATA 将收集到的数据进行处理分析后再使用描述法进行统计，对其相关性做出研究，使用多元回归分析的统计方法来验证模型的正确性。
本文的研究发现：这个新规定在没有正式施行之前，股市上的公司股价存在着较大的崩盘风险，而该规定实施后，这种风险明显降低，这也就意味着退市规定对股市崩盘起到了一定的监管作用。资本市场上，存在股价的猛涨与疯跌是非常正常的，而股市暴跌的情况下，风险层层累积，最终会使资本市场的正常运行受到打击，还会影响股民的资产安全。所以相关部门、专家以及股市内的股民应该重视起这样的现象。退市监管降低上市公司股价崩盘风险，主要是通过业绩提升而非操纵信息披露和盈余管理发挥作用。
科学实证法进一步研究发现，更低的企业代理成本、更好的信息透明度，还有更加强大的外界环境的监督管理，这样才能使退市规定对股市崩盘风险的监管更加有效，从而保证市场平稳运行以及保护企业的发展。总结上述研究成果，不难发现，要想股市内上市公司的信息更加公开透明，维持好资本市场的正常运作，就要对退市进行严格管控。此篇文章以研究结果为依据，根据我国资本市场以及制度规定的实情，对股票市场的管控政策改进提出了一些建议，并且总结了文章研究的一些缺点，对未来的研究做出了规划。
本文从宏观市场监管的角度研究了上市公司倒闭风险的影响因素，拓展了研究领域的视角，传统文献主要集中在上市公司内部动机和外部动机，还有控制股票的组织，主要包括分析师和机构的投资专业人员等方面。从利润的角度来看，监管者作为一个市场主体备受忽视，而监管部门对市场信息披露环境具有重要的惩戒权和监督作用，控制导致股票价格下跌的背后力量也需引起重视。这样，就有必要深入研究监管机构形成的宏观治理的作用。另一方面，本研究也有其局限性。本文错误地辩护，在无视管理者的条件下，以某些财务指标作为退市条件来衡量公司风险，并“炫耀盈余质量和公司信息，其做法是扭曲的”。我们可以充分验证持续一年的“保壳运动”的观点，多极化的退市指标可以减少这一方向的扭曲，退市制度可以发挥的预期作用比控制多方面的一般作用更大。在本文的实证研究设计中，由于不可能观察到市场退出指标的出现，因此只需要对金融退出指标的波动进行度量，完全体现了2018年新的退出规则的治理效果。 根据实际调查结果，再次提出了一些具体性的意见。
而本篇文章较为创新的地方主要突出在两点：首先，本文研究视角有所不同，由主客观因素的影响转变为宏观环境的影响。如今，与上市公司股票股价崩盘风险相关的研究文章主要着重于对上市公司本身的研究、对其内部人员以及受股市崩盘影响相关的方面进行分析，缺少从政策制度这一宏观角度来分析上市公司股价崩盘风险所产生影响。其次，对退市制度的处理有所不同。而通过对有关退市风险的文章进行研究，发现其内容大多注重退市机制对于上市公司退市所产生的影响。包括应计盈余管理和相关利益者的利益输送等，但有关退市制度的变迁对资本市场及其上市公司信息环境等的治理作用的研究较为少见。本文则在这方面增加新的经验证据。
关键词： 退市监管；股价崩盘风险；盈余管理；双重差分方法
ABSTRACT
Although domestic market has gradually standardize and rapid development, but there are some issues disturbing the order of financial markets, especially China's stock market has experienced a surge in 2015 after the crash, thousands of shares drop stop the phenomenon of repeated over and over again, for the interests of investors, public confidence in the stock market in our country, the stability of financial markets and the development of the real economy has caused negative influence. The risk of stock price crash has become the object of concern of each participant in the capital market. For capital market regulators in particular, the risk of a crash in share prices and its contagion effects are very directly related to their efforts to stabilize capital markets and protect the interests of investors. Based on the company's share price collapse risk this Angle of view to explore the governance effect of delisting regulation, the shenzhen stock exchange and Shanghai stock exchange in 2018, introduced stricter than before "retreat city new rules" as A natural experiment, based on the scientific empirical method to investigate the information environment, the company's performance with the stock price crash risk issues, mainly on the 2016-2019 a-share listed company's financial and market data are collected, and using STATA data analysis software for processing, Descriptive statistics, correlation analysis, multiple regression analysis and other statistical and econometric methods were used to test the correctness of the theoretical model.
The research of this paper finds that compared with before the implementation of the new delisting rules, the risk of stock price crash of the listed companies affected by the new delisting rules is lower after the new delisting rules, indicating that the delisting regulation can reduce the risk of stock price crash. Stock price boom and crash, is an important phenomenon in the capital market. The accumulation of crash risk caused by the collapse of stock prices has a negative impact on the smooth operation of the capital market and the property safety of investors to a considerable extent. Therefore, the regulatory authorities, investors and the academic field have paid extensive attention to this phenomenon. Delisting regulation reduces the risk of stock price crash of listed companies mainly through performance improvement rather than information disclosure manipulation and earnings management.
Further research by scientific empirical method finds that lower agency costs, better information transparency, and better external governance supervision can better play the role of delisting supervision in reducing the risk of stock price crash, and ultimately improve the efficiency of market pricing and enterprise value. The above research results indicate that stricter delisting supervision plays an important and positive role in improving the information transparency of listed companies and maintaining the good operation of the capital market. According to the research conclusions of this paper, and combined with the actual situation of the development of China's capital market and related systems, some policy suggestions are put forward. At the same time, the deficiencies of this paper are analyzed on the whole and the direction for further research is pointed out.
This paper studies the factors that influence the failure risk of listed companies from the perspective of macro-market regulation, and expands the perspective of the research field. Traditional literature mainly focuses on the internal and external motivations of listed companies, as well as the control system (analysts and institutional) investors and other relevant parties). From the point of view of profits, the regulator has been neglected as a market agent. The regulatory authorities have the important power of punishment and supervision over the market information disclosure environment, and the shadow of the "visible hand" of the risk of the stock price crash of listed companies cannot be ignored. Thus, it is necessary to further study the role of macro-governance formed by regulators. On the other hand, this study also has its limitations. This paper falsely defends the practice of using this financial measure as an exit condition to venture firms and "showing off earnings quality and corporate information is distorted" under the exit manager condition. We can fully verify the idea of a year-long "break-even movement," that multipolarity and delisting indices can reduce distortions in this direction, and that delisting regimes can be expected to play a greater role than the general role of controlling many aspects. In the empirical research design of this paper, since it is impossible to observe the emergence of market exit indicators, only the fluctuations of financial exit indicators need to be measured, which fully reflects the governance effect of the new exit rules in 2018. Then this paper puts forward countermeasures and suggestions based on the empirical results.
The research innovation of this paper is mainly reflected in two aspects: First, the research perspective of this paper is different, from the influence of subjective and objective factors to the influence of macro environment. The existing literature mainly studies the impact of listed companies on stock price crash risk from the aspects of listed companies themselves, their insiders and stakeholders in the market (such as institutional investors and analysts), while few studies verify the impact of listed companies on stock price crash risk from the perspective of macro-institutional environment. Secondly, the treatment of delisting system is different. From delisting regulation related literature, past research mostly focused on the analysis of the delisting system of the related factors influencing the revocation of special treatment of listed companies, including accrued earnings management and the interests of stakeholders, etc., but about the changes of the delisting system for capital markets and its effect on the information environment of governance of listed company of the study is relatively rare. This paper adds new empirical evidence in this regard.
KEYWORDS：Delisting supervision; Stock price crash risk; Earnings Management; Dual difference method
目 录
第一章 绪论
第一节 研究背景及意义
一、研究背景 1
二、研究意义 2
第二节 国内外研究综述 2
一、国外研究现状 2
二、国内研究现状 4
三、文献述评 7
第三节 研究思路及方法 7
一、研究思路 7
二、研究方法 8
第四节 研究创新 8
第二章 概念界定和理论基础 9
第一节 概念界定 9
一、股票崩盘风险 9
二、信息透明度 9
三、代理成本 10
四、盈余管理 10
五、退市制度 11
六、退市新规 12
第二节 理论构建 12
第三节 研究假设的提出 13
第三章 实证研究与分析 18
第一节 研究思路 18
第二节 研究样本与数据选取 20
第三节 实证结果与分析 20
一、描述性统计 20
二、主要回归结果 23
第四章 稳健性检验 28
第一节 稳健性检验结果 28
第二节 加入中介调节作用的研究 29
第三节 实证结论 34
第五章 研究结论和建议 35
第一节 研究结论 35
第二节 研究建议 36
一、建立规范化的退市指标 36
二、加强退市规则的执行力度 37
三、完善相关的其他配套制度建立 37
四、用各种手段规避股价崩盘风险 38
参考文献
