运筹与管理2024，Vol.33Issue(12)：143-150,8.DOI:10.12005/orms.2024.0398
极端不确定性与金融市场稳定
Extreme Uncertainty and Financial Market Stability:Evidence from the Stock Price Crash Risk
摘要
Abstract
Financial development and stability are very important for the economy.Ensuring financial stability is not only an important task to prevent and resolve major risks,but also an important prerequisite for maintaining sustainable and healthy economic development and promoting high-quality economic development.However,for the past years,the frequent occurrence of extremely uncertain events in the world has posed a greater threat to maintaining the stability of financial markets.Therefore,it is necessary to study the impacts of extreme uncer-tainty on the stability of financial markets. Under traditional risk conditions,individuals know the probability distribution of future outcomes and can make informed decisions.However,Knight points out that the real world is a world of uncertainty.Under the Knight uncertainty condition,the probability distribution of the outcome of the event is unknown,so no calcula-tions and predictions can be made.And this ignorance is the normal condition that firms face when making decisions.In this paper,we refer to the Knight uncertainty as extreme uncertainty.Firms may change their behaviors when extreme uncertainty rises,which may in turn affect financial market stability.In order to main-tain the stable development of China's financial market,this paper explores the impacts of extreme uncertainty on financial market stability,and explores the mechanism from the perspective of firms'information disclosure quality. Based on the theories of principal-agent,fuzzy aversion and information asymmetry,this paper selects A-share firms listed on Shanghai and Shenzhen stock exchanges from 2011 to 2020 as the research sample and constructs a model with extreme uncertainty as the independent variable and financial market stability as the dependent variable for regression analysis.In the model,we use the volatility of economic policy uncertainty and the stock price crash risk to measure extreme uncertainty and financial market stability,respectively.To mitigate potential endogeneity problems,the time period of the independent variable and control variables is"t",and the time period of the dependent variable is"t+1".Data are from the China Stock Market&Accounting Research(CSMAR)database and the Economic Policy Uncertainty Index website.In addition,the instrumental variable method is used to alleviate potential endogenous problems.We empirically investigate whether extreme uncertainty affects financial market stability through changing firms'information disclosure quality.Furthermore,we empiri-cally test how firm factors influence the relationship between extreme uncertainty and financial market stability. The empirical results suggest that an increase in extreme uncertainty can lead to the higher stock price crash risk.We use the instrumental variable method to eliminate potential endogenous problems.The results still hold after a series of robustness tests.Mechanism analyses suggest that higher extreme uncertainty will not only reduce the willingness of listed firms to disclose negative news but also provide opportunities for them to conceal bad news,thereby increasing the stock price crash risk and adversely affecting financial market stability.Further an-alyses show that extreme uncertainty can also affect investment efficiency and executive change.The relationship between extreme uncertainty and investment efficiency and one between extreme uncertainty and executive change are both significantly negative.Heterogeneous analyses indicate that the impact of extreme uncertainty on the stock price crash risk is more pronounced in firms with high operating volatility,greater external pressure,and poorer corporate governance. The findings suggest the importance of understanding the impacts of extreme uncertainty.This paper mainly focuses on the impact of extreme uncertainty on corporate information disclosure decisions.It indicates that firm behaviors can be significantly influenced by extreme uncertainty.Future studies can explore how extreme uncer-tainty influence other firm behaviors.For example,they can explore how extreme uncertainty influence firm investment and financing,and empirically investigate the underlying channels.They can further examine how changes in firm behaviors eventually affect the stability of financial markets.In addition,future studies can also pay attention to the impacts of extreme uncertainty on other participants in the capital market.关键词
极端不确定性/金融市场稳定/信息披露质量/股价崩盘风险/公司治理Key words
extreme uncertainty/financial market stability/information disclosure quality/stock price crash risk/corporate governance分类
管理科学引用本文复制引用
王春峰,路羚,姚守宇,王子伟,程飞阳..极端不确定性与金融市场稳定[J].运筹与管理,2024,33(12):143-150,8.基金项目
国家自然科学基金资助项目(72301190,72403019,72073101) （72301190,72403019,72073101）
