대주주 주식담보와 주가급락위험: 신증권법 시행의 영향에 관한 실증적 분석

This study empirically investigates the impact of controlling shareholders’ stock pledges on stock price crash risk, using a sample of Chinese listed firms from 2009 to 2023. The proxy variable for crash risk (Ncskew) is calculated based on weekly return data. Furthermore, the study examines the moderating effects of regulatory changes by comparing the relationship before and after the implementation of the New Securities Law in 2020. The empirical results show that stock pledging by controlling shareholders significantly increase stock price crash risk. However, after the implementation of the New Securities Law, the positive effect of stock pledging on crash risk is significantly weakened, suggesting that the strengthening of regulatory institutions has helped mitigate market risk arising from information asymmetry and ineffective corporate governance. In addition, the study provides empirical evidence that can support regulatory authorities in formulating policies to proactively prevent and effectively manage risks associated with stock pledging. Moreover, it offers meaningful implications for investors in recognizing potential warning signals and assessing the impact of shareholder behavior on market stability.