Stock Exchange Inquiry Letters And Stock Price Crash Risk

With the rapid development of economy,China’s capital market is also gradually growing,the establishment of an open and transparent,stable operation of the capital market is the basis of effective prevention of financial risks,but also can better help investors to make the right investment decisions.However,since the establishment of China’s stock market,there have been many changes,including stock price collapse,which caused panic among investors and disrupted the market order.For example,in 2020,due to the COVID-19 epidemic,the stock market suffered a systematic slump.Stock price collapse will not only bring huge losses to investors,severely hit their investment confidence,but also increase financial risks,disrupt the market order,and seriously hinder the healthy development of the stock market,so the risk of stock price collapse is worth our attention.The risk of stock price crash is mainly caused by principal-agent,information asymmetry and other problems.In order to pursue their own interests,the management may choose to hoard the negative information of the company,and the release of bad news to a certain extent will induce the stock price crash.This market anomaly has attracted the attention of financial regulators.As a front-line regulator,the stock exchange has implemented a non-administrative penalty information supervision system,namely inquiry letter.The system aims to send inquiries in the form of letters when the exchange reviews the publicly disclosed information or other relevant documents of listed companies and finds problems,so as to prompt corresponding companies to make additional disclosures and alleviate the degree of information asymmetry.The inquiry letter system has positive significance to prevent financial risks in advance.Therefore,since the reform of information disclosure Through Train in 2013,the inquiry letter system has attracted more and more scholars’ attention.Some scholars have found that inquiry letter can indeed improve the quality and level of information disclosure of the company and has positive effects.However,some scholars have pointed out that the inquiry letter system can promote the management of the company to carry out more hidden internal manipulation,such as increasing the real earnings management behavior,which has negative effects.So how will the letter of inquiry ultimately affect the risk of a stock price crash? This topic has important research significance.This paper takes a-share listed companies in Shanghai and Shenzhen from 2015 to 2020 as the research object.As the latest data of the inquiry letter ends in January2020,the sample time of the inquiry letter is selected from 2015 to 2019,and the risk of stock price crash of the earlier period is used for research.Referring to the existing literature,this paper constructs a fixed effect model incorporating other important influencing factors to explore the relationship between exchange inquiry and stock price crash risk.The empirical results show that :(1)receiving inquiry letters increases the risk of stock price crash in the future,and the promoting effect is more significant with the increase of the number of inquiry letters;(2)Through further analysis,it is found that in non-state-owned enterprises,companies with poor analyst earnings forecast quality and poor external audit quality,the exchange inquiry letter has a more obvious promotion effect on the risk of future stock price collapse of listed companies.In order to enhance the validity and reliability of the research conclusions,this paper adopts three methods to conduct robustness tests,namely,replacing stock price crash risk measures,eliminating stock price crash risk samples in 2020 and propensity score matching method.The empirical results are consistent,which strongly proves the robustness of the conclusions in this paper.The research of this paper has important practical significance for the further improvement of the inquiry system.