基于PVAR模型的企业研发创新对股价崩盘风险的影响

The Impact of Corporate R&D Innovation on Stock Price Crash Risk Based on PVAR Modeling

摘要: 在全球化和信息化不断推进的当下，金融市场的波动性加剧，股价崩盘风险对经济稳定构成了重大威胁。本研究旨在分析企业研发创新活动如何影响股价稳定性，特别是在不同行业背景下的动态关系。由于研发活动自身特点，使得研发创新对股价崩盘风险的影响难以在当期体现，本研究运用面板向量自回归(PVAR)模型，选取中国A股上市公司为样本，深入探讨了企业研发创新与股价崩盘风险之间的相互作用。研究发现，在制造业样本中，研发创新显著正向影响股价崩盘风险，而在非制造业样本中，这种影响则不显著。本研究不仅揭示了企业研发创新与股价稳定性之间的复杂联系，而且区分了不同行业背景下的异质性影响，为投资者、企业和政策制定者提供了宝贵的决策参考，对优化市场监管和促进资本市场健康发展具有重要的理论和实践意义。

Abstract: At a time of increasing globalization and information technology, the volatility of financial markets has increased and the risk of stock price crashes poses a major threat to economic stability. This study aims to analyze how firms’ R&D and innovation activities affect stock price stability, especially the dynamic relationship in different industry contexts. As the characteristics of R&D activities themselves make it difficult to reflect the impact of R&D innovation on stock price crash risk in the current period, this study utilizes a panel vector autoregression (PVAR) model and selects a sample of Chinese A-share listed companies to explore in depth the interaction between corporate R&D innovation and stock price crash risk. It is found that R&D innovation significantly and positively affects stock price crash risk in the manufacturing sample, while this effect is not significant in the non-manufacturing sample. This study not only reveals the complex link between corporate R&D innovation and stock price stability, but also distinguishes the heterogeneous effects in different industry contexts, which provides valuable decision-making references for investors, firms and policy makers, and is of great theoretical and practical significance for optimizing market regulation and promoting the healthy development of the capital market.