| The financial crisis and the extreme ups and downs of stock prices touched off a heated discussion in recent years.The stock plunge,especially the crash risk,brought heavy damage to the development of the capital market and wealth of the investors.Considering the great effect it has brought,figuring out the real reason behind the crash risk and finding an effective way to reduce the risk has become a hot topic in academic field.As one of the most important external governance in China's capital market,cross listing plays a significant role in lowering the risks of stock price crash of listed corporations.Through active and positive performances,foreign investors will be able to dig out more negative news of certain corporations,learn more about their stock prices,hence making stock price collapses less possible.In all,research on the relationship between the crash risk and cross-listing has significant effect on the capital market in China.This paper is based on the data of the listed companies in Shanghai and Shenzhen stock market from 2005 to 2014.By comparing the crash risk of companies listing only in A-share market and the companies listing both in A-share market and H-share market,this paper tests whether cross listing lower the crash risk of stock price of A-share companies.Furthermore,this paper is trying to find out the mechanism behind the phenomenon by introducing the concept-'Stock Price Informativeness'.According to this idea,this paper is divided into six parts,each part of which reads as follows:The first part is the introduction.This part mainly introduces the background,the significance of topic choice and the main content of the paper.And then it puts forward the methods applied in the research,the framework and the innovation.The second part is the theoretical foundation and literature review.This part summarizes the findings on cross-listing,stock price informativeness and share price crash risk made by scholars across the world.The third part is the theory analysis and assumptions.Based on available literature and theories,this part makes an analysis and proposes hypothesis.The fourth part is the research design.The data sample is the A-share listed companies' financial data.Based on the theories and literatures from home and abroad,this part selects variables,defines and explains them,and then builds empirical models.The fifth part is the empirical result analysis.This part is about to dissect the relationship between cross-listings and crash risk on stock price by several means,such as the describing the data,correlation analysis,univariate analysis and multiple regression analysis which are calculated by Stata 12.0.The sixth part is the conclusion and the revelation which mainly introduces the conclusion,the suggestions for the regulators and the prospects for the future research.According to the empirical analysis,this paper draws the following conclusions:Firstly,for A-share list companies that are also listed in H market,the crash risk is significantly lower than those only listed in A-share market,which supports the hypothesis that cross listing may lower crash risk of A-share listed companies.Secondly,Cross-listing is able to reduce the risk of stock collapse because it prohibits the administration of the listed companies from covering up bad news,thus encouraging investors mining the private information of those companies and increasing the information quantities the stock price can reflect.Thirdly,the double external governance effects of cross-listing and state-owned equity leads to the state-owned enterprise's stock price crash risk obviously decreasing.But because of serious first-class agent problem,cross-listing does not decrease its crash risk.The innovation and features of this paper are:1.Studying cross listing of A-share listed-companies in H market and its impact on crash risk of stock price,the dissertation spread the research about governance effect of cross listing to the extreme phenomenon in stock market,crash risk,which enriches the literature about governance effect of cross listing.2.This article studies the relationship between cross-listing and stock price informativeness,and reveals the essence of the reason why cross-listing can lower stock price crash risk.To a certain extent,this article enhances the cognizance of existing literature about cross listing,information exposure of stock price and stock price informativeness.This article still contains some defects due to the unavailability of data.This article only considers the cross listing happens under A shares market and H shares market at the same time.However,the total number of AH shares is only 2.9%of total number of A shares in shanghai and Shenzhen market.Therefore,reliability of this article's conclusion is uncertain,needing more research.Moreover,although this article confirms that cross listing decreases the risk of stock price crush by increasing the information exposure of stock price,it does not prove that the increase of stock price information exposure is caused by binding effect of market supervision or investors' supervision.Also,this article does not show that the information exposure of stock price is caused by the decrease of negative information hided in manager level or the enhancement of external investors' ability to achieve private information.All the questions above need more research and discussion in the future. |
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