Study On The Impact On Chinese Stock Market Share Price Volatility By Equity Pledge Of Controlling Shareholders

Equity pledge has gradually become one of the mainstream financing methods in the A-share market by virtue of its good liquidity,convenient operation,controllable risks and low financing threshold.Up to the end of 2018,the overall scale of equity pledge is approximately 4.0715 trillion yuan,and nearly all A-share listed companies have taken equity pledge.However,while enjoying the financing convenience brought by equity pledge,we cannot ignore the impact of equity pledge on stock price volatility.Based on summarizing the equity pledge development status and the related theories,this paper analyzes the data of equity pledge of A-share listed companies from 2013 to2017.By comparing the estimation results of hybrid OLS regression,fixed effect panel regression and single threshold panel regression,we finds that the controlling shareholder equity pledge is not a “neutral event”.Equity pledge increases the uncertainty of the stock price,which intensifies the share price volatility of the listed companies.Further,by testing the threshold number of panel data model,this paper finds that equity pledge ratio has significant double threshold effects on stock price volatility.When the equity pledge ratio is around 0.2112 and 0.7279,the effect of controlling shareholder equity pledge on the stock price volatility presents structural breaks.When the equity pledge ratio is in[0.0000,0.2112),[0.2112,0.7279)and [0.7279,1],the regression coefficient of controlling shareholder equity pledge to stock price volatility is 0.29,0.19 and 0.14.In order to prevent the risk brought by higher equity pledge ratio,controlling shareholder has more “incentive” to keep the share price stable,thus weakening the effect of equity pledge.In addition,this paper joins a virtual variable in the model to distinguish the behavior motivation of controlling shareholder.The results show that when the controlling shareholder is “tunneling” the listed company,investors are worried about the business performance and development prospects of the company,thereby increasing theimpact of equity pledge on stock price fluctuations.Finally,this paper estimates the groups of state-owned enterprises and non-state-owned enterprises and finds that,in general,the controlling shareholder equity pledge of non-state-owned enterprises has less impact on stock price volatility than state-owned enterprises,and the “tunneling”behavior of controlling shareholder of state-owned enterprises will not increase the impact of equity pledge on stock price fluctuations.Based on the results of this study,we think the relevant departments should strengthen the guide of individual investors,and external regulators should regulate the order of equity pledge market and promote the rational development of equity pledge business.