供应链风险敞口感知与股价崩盘风险——基于电商企业的实证研究

Supply Chain Risk Exposure Perception and Stock Price Crash Risk—An Empirical Study Based on E-Commerce Enterprises

摘要: 在数字经济背景下，电商企业复杂的供应链网络使其在外部冲击下尤为脆弱，厘清此类运营风险是否会加剧资本市场股价崩盘风险，对防范系统性风险与引导行业健康发展具有重要意义。本研究以2016~2021年中国A股电商行业上市公司为样本，运用文本分析方法构建供应链风险感知指标，实证检验了供应链风险感知对股价崩盘风险的影响及其作用机制。研究结果表明，供应链风险感知会显著提升企业未来的股价崩盘风险。机制检验发现，供应链风险感知主要通过降低分析师关注度这一信息渠道来增加股价崩盘风险。该结论在经过替换被解释变量、调整样本范围等一系列稳健性检验后依然成立。异质性分析进一步发现，上述效应在非国有企业与处于竞争性行业的企业中更为显著。本研究从供应链风险感知这一前瞻性、主观性维度切入，揭示了电商企业特有的运营风险向资本市场风险的传导路径，不仅拓展了股价崩盘风险影响因素的文献，也为电商企业强化供应链风险信息披露与管控、投资者审慎评估相关风险以及监管部门防范资本市场异常波动提供了经验证据与决策参考。

Abstract: In the context of the digital economy, e-commerce enterprises, with their complex supply chain networks, are particularly vulnerable to external shocks. Clarifying whether such operational risks exacerbate stock price crash risk in the capital market is crucial for preventing systemic risks and guiding the healthy development of the industry. This study takes China’s A-share listed e-commerce companies from 2016 to 2021 as a sample, constructs a supply chain risk perception indicator using textual analysis, and empirically examines the impact of supply chain risk perception on stock price crash risk and its underlying mechanism. The results show that supply chain risk perception significantly increases future stock price crash risk. Mechanism tests reveal that this effect primarily operates through the information channel of reducing analyst coverage. This conclusion remains robust after a series of tests, including substituting the explained variable and adjusting the sample scope. Further heterogeneity analysis indicates that the aforementioned effect is more pronounced in non-state-owned enterprises and firms within competitive industries. By focusing on the forward-looking and subjective dimension of supply chain risk perception, this study uncovers the transmission path of e-commerce-specific risks to capital market risks. It not only extends the literature on the determinants of stock price crash risk but also provides empirical evidence and decision-making references for e-commerce companies to enhance supply chain risk disclosure and management, for investors to prudently assess related risks, and for regulators to prevent abnormal fluctuations in the capital market.