Research On The Influence Of Macro-financial Leverage Volatility On The Risk Of Stock Price Crash

After the financial crisis in 2008,China adopted the "four trillion" plan to promote the development of the real economy and stabilize economic growth.Such expansionary macroeconomic policies have led to the continuous expansion of domestic credit scale and the significant improvement of the level of macro-financial leverage.Under such a realistic background,issues related to macro-financial leverage have gradually attracted the attention of academia and policy makers.Academics generally believe that the excessive level of macro-financial leverage will cause a series of negative effects on the economy,such as causing economic recession,bringing economic fluctuations,and increasing systemic financial risks."Deleveraging",as one of the "three reductions,one reduction and one compensation",was first proposed at the Central Economic Work Conference held in 2015.Since then,the issue of "deleveraging" has also begun to be concerned by all sectors of society.Whether it is necessary to control the extent of deleveraging in the process of deleveraging,and what impact the fluctuation of macro-financial leverage will cause in the process of deleveraging,still need to be empirical research.Chinese stock market is highly volatile,and individual stock crashes occur from time to time,which will have a negative impact on the wealth of individual investors,the business development,the smooth operation of the financial system and even the economic growth of the economy."Policy market" is a feature of Chinese stock market,and the stock price is greatly affected by policy changes.Whether the fluctuation of macro-financial leverage brought by policy adjustment will have a certain impact on the stock price,it is necessary to empirically test the impact of the fluctuation of macro-financial leverage on the stock price crash risk.This paper theoretically analyzes and empirically studies the impact of macroeconomic financial-leverage volatility on the stock price crash risk.First of all,this paper theoretically analyzes the impact of macroeconomic financial leverage volatility on the risk of stock price collapse and its ways.This paper believes that:(1)The fluctuation of macro-financial leverage will increase the risk of stock price collapse by strengthening the financing constraints of enterprises and reducing the sentiment of traders.(2)The higher the shareholding ratio of institutional investors,the smaller the positive impact of the volatility of macro financial leverage on the risk of stock price collapse;The larger the company’s circulating market value,the smaller the positive impact of the volatility of macro financial leverage on the risk of stock price collapse.Secondly,this paper uses the panel data of listed companies in Shanghai and Shenzhen A-shares from 2001 to2020 to conduct an empirical study.The research shows that:(1)The increase in the volatility of macro-financial leverage will indeed increase the stock price crash risk of enterprises,and the conclusion is still valid after a variety of robustness tests.(2)The increase in the volatility of macro-financial leverage will indeed increase the stock price crash risk of enterprises by increasing the financing constraints faced by enterprises and reducing the trading sentiment of investors.(3)The higher the shareholding ratio of institutional investors is,the weaker the positive impact of macroeconomic financial leverage volatility on the risk of stock price collapse;The larger the circulating market value of a company,the weaker the positive effect of the volatility of macro-financial leverage on the stock price crash risk.Compared with previous scholars’ research,first of all,this paper studies the relationship between macro-financial leverage volatility and stock price crash risk for the first time.Secondly,this paper enriches the research on the economic consequences of the volatility of macro-financial leverage in the stock market and the impact factors of the stock price crash risk at the macro level.Under the background that the macro-leverage ratio is included into the focus of regulation by policy makers,this study can not only make macro-regulation decisions for policy makers,but also help investors make trading decisions.