财务困境上市公司的股价同步性实证研究

摘要

This paper conducts an empirical study using the data of the companies listed in Shenzhen Stock Exchange A-share market that are non-financial firms and are in financial distress from 2009 to 2013.The study has four main research findings.First,financial distress has significantly positive effect on stock price synchronicity.Second,the information disclosure quality of the companies with financial distress has significantly negative effect on stock price synchronicity. Third, the information disclosure quality partially mediates the relationship between financial distress and stock price synchronicity.Finally,the industry competition moderates the relationship between financial distress and stock price synchronicity.Especially,the positive effect of financial distress on stock price synchronicity is stronger when the company is in low competitive industry rather than in high competitive industry.%以我国20092013年深市 A 股非金融类并陷入财务困境的上市公司数据进行了实证检验。研究结果表明：在目前我国证券市场情形下，财务困境对股价同步性具有显著的正向影响；陷入财务困境的上市公司信息披露质量对股价同步性具有显著的负向影响；信息披露质量在财务困境与股价同步性的关系之间起部分中介作用；行业竞争属性在财务困境与股价同步性的关系中起着调节作用，即相较于高度竞争行业，处于低度竞争行业中，财务困境对股价同步性的正向作用更强。