Research On The Relationship Between The Pledge Of Major Shareholders' Equity And The Risk Of Stock Price Fluctuation

As an emerging financing method,equity pledge refers to the pledge established by the pledgee with the equity owned by the pledge as the pledge.The eligible fund pledge is pledged by the stock or other securities held by the eligible party.The financial and financial parties will integrate the funds and agree to return the funds and release the pledge in the future.There is an early warning mechanism for equity pledge,and a cordon and a clear warehouse line are set up.This paper studies the effect of stock pledge on stock price volatility from the perspective of credit risk.Around early warning mechanism,equity pledge in carding equity pledge to shareholders and the company main body,the cause of formation of credit risk,influence factors,combined with asymmetric information,the efficient market theory,relevant theories such as market myopia,analysis of liquidity risk caused by equity pledge and the actual control of transfer or the actual control of risk changes,resulting in credit risk analysis on the correlation of share price volatility risk on the basis of the mechanism of argument clear,studies the Shanghai and Shenzhen two city a-share(does not contain the gem and the small and medium-sized plate company)of the influence of equity pledge of share price volatility risk,at the same time,considering different equity pledge proportion and other conditions,The stock price fluctuation risk appears the different change degree.Select negative skewness coefficient and stock return yield fluctuates up and down as the share price volatility risk measure,select the existence of equity pledge as explanatory variables,equity pledge proportion change risk,liquidity and actual controller as interactive variables,select information transparency,P/E ratio,book-to-market ratio,Trait volatility,etc.are used as control variables,earnings volatility and characteristics according to the research hypothesis different regression model is established.Model 1 focuses on the positive and negative correlation between the stock price fluctuation risk and the company with the existence of stock right pledge behavior,while model 2 and model 3 respectively consider the correlation between the stock right pledge ratio,the credit risk and the stock price fluctuation risk.The data used in the regression model are related data of listed companies from 2010 to 2018 for 8 consecutive years,and the multiple regression model of fixed annual effect and industry effect is adopted for empirical research.The results show that the liquidity of the companies participating in the pledge is generally tight.In the case of equity pledge,in the long run,the higher the possibility of stock price decline,that is,the higher the risk of stock price fluctuation.In addition,due to the differences in the pledge ratio of major shareholders,the higher the pledge ratio is,the stronger the positive effect of pledge on stock price fluctuation risk is.Considering that equity pledge will bring certain credit risk,the liquidity risk brought by equity pledge will lead to the risk of actual controller change and further increase the risk of stock price fluctuation.