ETF、股票流动性与股价崩盘风险

Abstract

Against the backdrop of China's commitment to innovation-driven development and the emphasis on preventing systemic financial risks, this paper empirically examines the relationship between ETFs, an innovative financial instrument, and stock price crash risk from the perspective of corporate governance. We find that while ETFs improve the stock liquidity of listed companies, they also attract more short-term investors, which intensifies management's incentive to conceal negative news, thereby increasing stock price crash risk. However, external factors such as the imperfect pricing mechanism of the A-share market and analysts' optimistic bias are not the primary reasons why ETFs increase stock price crash risk. Further analysis shows that the effect of ETFs on stock price crash risk is more pronounced in firms with more severe agency conflicts, poorer corporate governance, and higher degrees of information asymmetry. This study provides insights for dialectically understanding the relationship between financial innovation, financial risk, and financial regulation, enhancing corporate governance of listed companies, and preventing systemic financial risks.