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中国管理科学

中国管理科学 ›› 2019, Vol. 27 ›› Issue (7): 11-22.doi: 10.16381/j.cnki.issn1003-207x.2019.07.002

• 论文 • 上一篇    下一篇

股价暴涨的风险:基于中国股市的实证

叶彦艺1, 高昊宇2, 杨晓光3,4   

  1. 1. 清华大学五道口金融学院, 北京 100083;
    2. 中央财经大学中国金融发展研究院, 北京 100081;
    3. 中国科学院数学与系统科学研究院, 北京 100190;
    4. 中国科学院大学, 北京 100049
  • 收稿日期:2018-03-07 修回日期:2018-08-28 出版日期:2019-07-20 发布日期:2019-08-01
  • 通讯作者: 杨晓光(1964-),男(汉族),安徽凤台人,中国科学院数学与系统科学研究院,研究员,研究方向:风险管理、资本市场、宏观经济分析,E-mail:xgyang@iss.ac.cn. E-mail:xgyang@iss.ac.cn
  • 基金资助:
    国家自然科学基金资助项目（71532013，71431008，71702207）；中国博士后科学基金资助项目（2019M650732）

The Risk Hidden in Price Surge: Evidence from Chinese Stock Markets

YE Yan-yi1, GAO Hao-yu2, YANG Xiao-guang3,4   

  1. 1. PBC School of Finance, Tsinghua University, Beijing 100083, China;
    2. Chinese Academy of Finance and Development, Central University of Finance and Economics, Beijing 100081, China;
    3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;
    4. University of Chinese Academy of Sciences, Beijing 100049, China
  • Received:2018-03-07 Revised:2018-08-28 Online:2019-07-20 Published:2019-08-01

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摘要： 股价暴涨直观上带来高收益，激发市场正面情绪，那么为什么暴涨被视为风险?本文利用2006年至2016年中国A股上市公司数据，通过计量建模对暴涨股票的特征和日后的市场表现进行刻画。实证发现：（1）股价暴涨频度高的股票，呈现低资产收益率、高市值账面比、多散户持股、少沪深300成份股等特点；（2）易发生暴涨的股票其长期超额收益率更低，未来有更大的暴跌风险和更高的收益率波动率；（3）对于运营基本面较差、市场过于乐观、信息披露质量较低的股票，暴涨后的暴跌风险更加明显。研究结论在不同代理变量选择、多种计量模型设定下均稳健成立。本文揭示了暴涨不仅仅是极端价格波动，而且更容易发生在高风险股票中，未来蕴含着更大的潜在损失。暴涨是实实在在的风险。

关键词: 暴涨, 风险, 未来损失, 市场操纵, 过度乐观

Abstract: Stock price surge intuitively generates higher profits and promotes the positive sentiment in the short run.Why it is regarded as risk? Prior literature has already done much researches on crash risk. However, there are few studies discussing the stock price surge.The features of stocks are analyzed with price surge, the future performance of these stocks is examined, and the empirical evidence on the potential risk of stock price surge is provided. A comprehensive database on Chinese stock market from 2006 to 2016 is used and the number of the trading days is counted that reached the positive price limit within a given period as a proxy for the intensity of price surge. To show potential risks behind the price surge, three outcome variables, i.e. the number of trading days that reached the negative price limit, the future cumulative abnormal returns (CAR) and stock return volatility, are introduced as risk measures.The data is compiled from CSMAR and WIND database.
Our findings show that:(1)stocks with more price surges are associated with lower return on asset, higher market-to-book ratio, less institutional ownership, and less likelihood of being HS300-index stock; (2) these stocks exhibit lower long-runexcess returns, more stock price crashes and higher volatility in the future. Moreover, the cross-sectional heterogeneity across stocks is also explored in the risks hidden behind price surge. The interaction analyses find that the down-side risks turn to be significantly higher for firms with worse operation fundamentals, over-optimistic market sentiment, higher information asymmetry and worse corporate governance. These results are quite robust to alternative proxies for future performance and alternative model specifications. Our results suggest that the stock price surge is indeed a kind of risk because it results in severer future loss and higher uncertainty.This paperempirically illuminates the risk hidden behind price surge and add to the prior literatures discussing the extreme price risk.

Key words: price surge, risk, future loss, market manipulation, over-optimistic

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