Systemic Risk Shock,Enterprise Innovation Ability And Stock Price Volatility

Systemic risk is the important factor to promote the change and fluctuation of overall stock market price.Under systemic risk shock,all stock prices and the overall stock market indexes generally experience the fluctuating process of first falling and then rising.However,different stocks often have different fall and rise ranges during and after the systemic risk shock,showing great differences price volatility.Why do different stocks show different volatility under the same systemic risk shock? What is the intrinsic reason for the phenomenon? This is obviously a question worth further study.Generally speaking,the stock price trend of listed companies depends on its fundamental performance and the decision-making trading behavior of investors.As the comprehensive index reflecting the market competitiveness,profitability and development prospect of a listed companies,enterprise innovation ability not only directly influences the intrinsic value of the issued shares,may also affect the investors' expectations and its decision-making transaction behavior,and then make different stocks may present different price volatility under the same systemic risk shock.At the same time,due to the differences between information traders and non-information traders in information gathering and processing ability,investment capital scale and professional knowledge level,they may have different understandings and expectations of the information of enterprise innovation ability and systemic risk shock and their influence on stock price trend,thus playing different roles in the relationship between systemic risk shock and enterprise innovation ability and stock price volatility.Therefore,from the theoretical and empirical aspects to explore the influence of systemic risk shock and enterprise innovation ability on stock price volatility and the role of investor structure in them,not only helps to clarify the reasons why different stocks show different price stability under the same systemic risk shock,but also can provide theoretical basis and decision-making guidance for Chinese stock market to optimize investor structure,for listed companies to enhance innovation ability,and for our country to implement innovation-driven strategy in the help of stock market.Based on the above background,this paper put systemic risk shock,enterprise innovation ability and stock price volatility in the same research framework.By embedding the variables of enterprise innovation ability and systemic risk shock into stock value and referring to the classic utility measurement function,the basic model under investor homogeneity and the extended model under investor heterogeneity are constructed,and the impact mechanism of systemic risk shock and enterprise innovation ability on stock price volatility is deeply analyzed.On this basis,combining with the actual situation of China's stock market and the sample data of listed companies,this paper carries out empirical studies.The main research contents of this paper are as follows:First,this paper sorts out relevant theories such as enterprise innovation theory,asset pricing theory,high-level echelon theory and incomplete information theory,and reviews and analyzes the domestic and foreign literature from four aspects: systemic risk shock and stock price volatility,enterprise innovation and stock price volatility,investor structure and stock price volatility,systemic risk shock,enterprise micro characteristics and stock price volatility.In this way,the theoretical support and logical starting point of this paper are clarified,and the research ideas and complete research framework are formed.Second,the paper summarizes the main measurement methods of systemic risk shock,innovation ability,investor structure and stock price volatility in existing literature,and proposes the method to measure the key variables of this paper.defining the systemic risk shock of listed companies according to the continuous slump of China's stock market index,constructing innovation ability index of listed companies from three dimensions of innovation input,innovation output and innovation environment,measuring the investor structure based on the shareholding ratio of information traders of listed companies,this paper empirical studies the impact of systemic risk shock and enterprise innovation ability on stock price volatility.Third,this paper constructs the theoretical model to reveal the impact mechanism of systemic risk shock and enterprise innovation ability on stock price volatility,and studies the overall effects of systemic risk shock and enterprise innovation ability on stock price volatility by using the samples of Chinese listed companies.Theoretical and empirical research results show that:(1)Systemic risk shock is positively correlated with stock price volatility,while enterprise innovation ability is negatively correlated with the stock price volatility;(2)Enterprise innovation ability has a significant negative moderating effect on the relationship between systemic risk shock and stock price volatility,and can weaken the impact of systemic risk shock on stock price volatility,thus having a “stabilizer” effect on the stock market price.(3)The role of enterprise innovation ability in reducing stock price volatility and weakening the impact of systemic risk shock on stock price volatility is significant in both state-owned and non-state-owned enterprises.However,compared with non-manufacturing enterprises,the innovation ability of manufacturing enterprises has a more significant stabilizing effect on the stock price;Compared with SME board and GEM,the above role of enterprise innovation ability in main board is more significant.Fourth,by constructing the theoretical model under the condition of investor heterogeneity,this paper analyzes the joint influence mechanism of systemic risk shock,enterprise innovation ability and investor structure on stock price volatility in the stock market with both information traders and non-information traders.The theoretical studies show that:(1)Enterprise innovation ability can reduce the stock price fluctuation under any systemic risk shocks and investor structure,thus having a “stabilizer”effect on the stock market price.(2)The impact of systemic risk shock on stock price volatility will vary with enterprise innovation ability and trader structure,and the enhancement of systemic risk shock will always promote the increase of stock price volatility under low enterprise innovation ability.(3)Investor structure will have different effects on the stock price volatility under different systemic risk shocks and enterprise innovation ability.When the shareholding ratio of information traders is low,the stock price volatility is always negatively correlated with the shareholding ratio of information traders;When the shareholding ratio of information traders is high,the stock price volatility of enterprises with high(low)innovation ability decreases(increases)with the increase of the proportion of information traders' holdings,indicating that the shareholding ratio of information traders has a threshold effect on the stock price volatility of enterprises with low innovation ability and that the market with higher proportion of information traders' holdings has a better selection mechanism of “survival of the fittest”.Fifth,the paper empirically studies the influence path of systemic risk shock and enterprise innovation ability on stock price volatility from two mediating channels of operation performance and investor sentiment.The empirical research results show that:(1)Systemic risk shock is significantly negatively correlated with corporate performance and positively correlated with investor sentiment;Enterprise innovation ability is significantly positively correlated with enterprise performance and negatively correlated with investor sentiment.(2)Corporate performance does not play a role in reducing stock price volatility,while investor sentiment intensifies stock price volatility,indicating that there exists the phenomenon that corporate fundamentals deviate from stock price volatility in China's stock market and that high performance fails to stabilize stock prices.(3)Corporate performance and investor sentiment are two important mediating channels for the impact of systemic risk shock and the impact of enterprise innovation ability on the stock price volatility.The overall mediating effect is significant and acts as partial mediating effect.Sixth,based on the actual situation of Chinese stock market,this paper empirically studies the impact of systemic risk shock,enterprise innovation ability and investor structure on stock price volatility.The empirical results show that:(1)When investor heterogeneity is taken into consideration,stock price volatility of Chinese listed companies is significantly positively correlated with systemic risk shock,and negatively correlated with enterprise innovation ability.Enterprise innovation ability will significantly reduce stock price volatility under systemic risk shock.(2)The shareholding ratio of information traders has threshold effect on the stock price volatility: When the shareholding ratio of information traders is lower than a certain threshold,it can suppress stock price volatility;when the proportion of information traders exceeds the threshold,its effect on the stock price volatility will change from inhibition to promotion.(3)The generally low innovation ability of Chinese listed companies leads to the stock market price generally plummeting under systemic risk shocks;Information traders fail to play the role of stabilizing stock market price on the whole due to the generally low innovation ability of listed companies;Due to the lack of strict delisting mechanism,China's stock market fails to fully demonstrate the “survival of the fittest” effect of information traders' high shareholding ratio on listed companies with low innovation ability.Compared with existing literature,the features and possible innovations of this paper are reflected in the following aspects:First,Most of the existing studies have focused on the impact of single factor such as systemic risk shock,enterprise innovation ability and investor structure on stock price volatility.In this paper,the systemic risk shock and enterprise innovation ability are included,and systemic risk shock,enterprise innovation ability and stock price volatility are put in one research framework to comprehensively and systematically analyze the influence of systemic risk shock and enterprise innovation ability on stock price volatility,which enriches the literature on enterprise innovation theory and stock market theory,and provides a new perspective for us to study the economic effects of enterprise innovation and to explore the ways to implement the innovation-driven development strategy and maintain the stable development of stock market.Second,the theoretical model is built to reveal the influential mechanism of systemic risk shock and enterprise innovation ability on stock price volatility under the condition of investor homogeneity,and the empirical test is carried out by using the sample of Chinese A-share listed companies.The results show that systemic risk shock has a positive effect on stock price volatility,the enterprise innovation ability has a restraining effect on stock price volatility and the moderating effect of weakening the systemic risk shock on stock price volatility.Third,based on the two intermediary channels of operating performance and investor sentiment,this paper empirically studies the impact path of systemic risk shock and enterprise innovation ability on stock price volatility.The research results show that both systemic risk shock and enterprise innovation ability will influence the stock price volatility through the two channels of operating performance and investor sentiment.Investor sentiment intensifies stock price volatility of listed companies,while the excellent performance of listed companies fails to stabilize the stock price.There exists the phenomenon that the operating fundamentals of enterprises deviate from the stock price volatility in Chinese stock market.Fourth,by constructing the theoretical model,this paper reveals the joint influential mechanism of systemic risk shock,enterprise innovation ability and investor structure on stock price volatility under the condition of investor heterogeneity,and then uses the sample of listed companies in Chinese stock market to conduct empirical test.The theoretical research results prove the stabilizing effect of the enterprise innovation ability on the stock price,and clarify the influential conditions and influential direction of systemic risk shock and investor structure on stock price volatility and that the stock market with a high shareholding ratio of information traders has a better selection mechanism of “survival of the fittest”.The empirical study based on Chinese stock market samples confirms the stabilizing effect of enterprise innovation ability on stock market price,and the threshold effect of information traders' shareholding ratio on the stock price volatility of listed companies,which revises and complements the viewpoint that “the more information traders hold shares,the more stable the stock market price”put forward by the traditional financial market theory.Due to the low innovation ability of Chinese listed enterprises,information traders' shareholding fails to play the role of stabilizing the stock market price on the whole,and due to the lack of strict delisting mechanism in Chinese stock market,the “survival of the fittest” effect of information traders' shareholding on listed companies with low innovation ability has not been fully demonstrated.This provides the theoretical reference and decision basis for China to promote the function of stock market to encourage innovation and optimize resources allocation by optimizing investor structure and improving information disclosure environment.