商业银行发行理财产品与股价崩盘风险

商业银行在我国金融体系中的地位举足轻重,是金融系统性风险的重要来源。近年来,理财业务的高速成长为商业银行累积了大量的风险,但无论是监管层、业界还是学界,对银行理财产品的关注主要集中在理财产品驱动因素以及其对商业银行业绩的影响上,忽略了商业银行发行理财产品所引发的风险累积及其对资本市场稳定的潜在影响。因此,本文利用2006-2016年中国境内上市银行理财产品的发行数据,从股价崩盘的角度研究其对银行自身股价产生的影响。本文研究表明:银行理财产品的发行会带来自身股价崩盘风险,理财产品发行数量越大,其股价崩盘风险越大;监管压力和理财产品刚性会加剧股价崩盘风险的发生。基于此,本文建议:相关监管机构重点关注监管考核压力较大的商业银行,商业银行要做好投资者的教育工作,淡化预期收益概念,并落实理财产品信息披露制度,更多地发行“开放式净值型”理财产品。

The Issuance of Wealth Management Products and Stock Price Crash Risks:Factors and Mechanism

In 2017,the 19th National Congress of the Communist Party of China listed prevention and resolution of major risks as the first of the three major battles in the future,and put“prevention and control of financial risks”and“keeping the bottom line of no systemic financial risks”in a very prominent position.Commercial banks play an important role in the financial system of our country,and they are the main contributors to the financial systemic risk.In recent years,the rapid development of wealth management products(WMPs)has accumulated a large amount of risks for commercial banks outside the regulatory system.However,whether it is the regulator,the industry or the academia,they mainly focus on the impact on commercial banks or the WMPs themselves.There is little awareness about the impact of WMPS on the capital market.WMPs is a non-credit method for banks to finance local governments and real estate projects under macro-control measures such as credit rationing,capital constraints,and deposit-loan ratio constraints.As products are off-balance sheet items,they will not be disclosed in the financial statements,making it difficult for investors to obtain complete details.Hence,for investors,a large number of WMPs issued by banks are actually sending a signal to the market that“assets that meet regulatory requirements are limited”.Once investors realize the existence of actual risks,they will sell stocks due to risk aversion,causing a slump in stock.This paper uses data of WMPs from 2006 to 2016 in China to study how the issuance of WMPs caused stock crash.We first study the relationship between the issuance of WMPs and stock crash.The results show that the issuance of WMPs shall bring stock crash,the greater the number of WMPs issued,the greater the risk of stock crash.Both capital adequacy ratio and bank asset size are significantly negatively correlated with the risk of stock crash,indicating that the increase in bank size and capital adequacy ratio can effectively restrain the risk.We also find that the result is affected by the difference of regulatory pressures,nature of banks and nature of WMPs.The higher the ratio of rigid redemption products,the greater the risk of stock crash.Further,we prove that the issuance of WMPS impact stock crash through two channels,the information opacity and mismatch of funds of WMPs,which changed the judgment of investors on the issuing banks.The issuance of WMPs will bring about the information opacity.The decrease in the transparency of WMPSs will not only affect investors risk assessment of commercial banks,but also affect the efficiency of risk information transmission,and then increase the possibility of bad news concentration and the instability of commercial banks own stock price.Besides,the funds raised by WMPs are no longer required to invest in a certain target.WMPs gradually forms a fund pool,which exacerbates the risk of liquidity mismatch and makes the risks that should be passed on to investors stay in the banking system.Under these circumstances,liquidity mismatches will bring about higher interest costs and operating costs,and lead to the higher risk of loss or insolvency.Through these two channels,the issuance of WMPs act on banks and increase the risk of stock crash.The findings of this paper support measures such as“enhancing information disclosure”,“reducing capital mismatches”,and“breaking rigid redemption”emphasized by the new asset management regulations in 2018.At the same time,it also pointed out the future supervision direction for the regulators and provided new ideas for the development of commercial banks wealth management products.From the perspective of the supervisory authority,they should pay special attention on commercial banks under heavy pressure from supervision and assessment.An independent custodian system also should be introduced.From the perspective of commercial banks,they must do a better job of investor education,eliminate the subconscious of“rigid redemption”,and dilute the concept of expected returns.In addition,it is necessary to establish better WMPs information disclosure system.It will help regulators to understand the actual operation of commercial banks,as well as helps investors identify actual risk of WMPs.