证券市场导报Issue(5)：50-60,79,12.
场内股权质押、券商关联网络与系统性风险传染
摘要
Abstract
For the exchange equity pledge,if the price of shares pledged by the company drops sharply,securities companies,as the primary pledgees,will incur losses,probably lead to contagious financial risks.Based on exchange equity pledge business data of A-share listed companies on the Shanghai and Shenzhen Stock Exchanges,this paper innovatively constructs a network of equity pledge business of securities companies and examines the impact of network centrality of securities companies,which refers to the influence of a securities company within the equity pledge business network,on systemic risk in the securities company industry.The empirical results are summarized as follows.(1)In the exchange equity pledge network,higher network centrality of securities companies may increase securities companies'operating risk,intensify securities companies'stock price volatility,lower risk control standards in the securities company industry,and amplify investor sentiment,thereby increasing systemic risk contagion of the industry from both individual securities companies and the external environment.(2)The effect of network centrality of securities companies on systemic risk in the industry is more pronounced among securities companies with more severe agency conflict,during market downturns,and under higher margin call risks.(3)From the perspective of the pledged object,the margin call of pledged stock may trigger a spiral mechanism of"reinforced expectation-accelerated sell-off-negative price feedback,"resulting in a sharp decline in stock price over a short period.Furthermore,the negative impact of margin call events on stock prices is more significant for firms facing stronger financing constraints and weaker media supervision.This study provides references for promoting the healthy development of exchange equity pledge business and for preventing and resolving systemic risk.关键词
场内股权质押/券商/网络中心性/网络密度/系统性风险Key words
exchange equity pledge/securities company/network centrality/network tightness/systemic risk分类
管理科学引用本文复制引用
温博慧,杨妍,徐佳翔,邢雨聪..场内股权质押、券商关联网络与系统性风险传染[J].证券市场导报,2025,(5):50-60,79,12.基金项目
国家社科基金重大项目"服务实体经济和防范系统性风险并重的金融体制改革路径与机制研究"(项目编号:23ZDA038) （项目编号:23ZDA038）
