企业数字化转型对股价崩盘风险预测研究——基于ED-SPCBoost模型

摘要/Abstract

摘要： 企业数字化转型在数字科技和企业发展有效耦合下应运而生,对我国股价稳定产生深远影响。本文以特征关系优化为基础构建ED-SPCBoost模型,通过有效的参数设置及强指标相关性分析使模型具备高鲁棒性,利用模型探究企业数字化转型对股价崩盘风险的影响效果及作用机制。研究发现:(1)数字化转型可有效降低股价崩盘风险,随转型程度增强,股价崩盘风险呈"稳定-敏感-稳定"阶段性下降的Logistic函数变动形势;(2)数字化转型对国有企业股价崩盘风险降低作用更显著,转型成熟期非国有企业占比高达78.03%,非国有企业数字化转型意愿强于国有企业;(3)数字化转型可通过增强企业信息透明度、改善市场评价预期值、提高内部财务稳定性等机制减小股价崩盘风险,且三组机制影响效果存在差异性动态变化特征。本文提出的ED-SPCBoost模型具备高鲁棒性和低误差率,经实证数据验证符合企业数字化与股价崩盘预测规律,可为数字科技对上市公司优化治理环境和金融市场完善风险监控提供有益参考。

关键词: 企业数字化, 股价崩盘风险, 信息不对称, ED-SPCBoost模型

Abstract: Enterprise digital transformation came into being under the effective coupling of digital technology and enterprise development, which has profoundly impacted China's stock price. Based on the optimization of characteristic relationships, this paper constructs an ED-SPCBoost model to explore the impact of enterprise digital transformation on the risk of stock price collapse and the underlying mechanism. The findings are as follows. (1) Digital transformation can effectively reduce the risk of the stock price crash, and the risk of stock price crash shows a phased downward trend of "stable-sensitive-stable" as the degree of transformation increases. (2) Digital transformation plays a more significant role in reducing the risk of the share price collapse of state-owned enterprises. In the mature period of transformation, non-state-owned enterprises account for 78.03%. Non-state-owned enterprises are more willing to accept digital transformation than state-owned enterprises. (3) Digital transformation can reduce the risk of stock price collapse by enhancing enterprise information transparency, improving market evaluation expectations, and improving internal financial stability. The mechanisms underlying the three paths of impact are different. The ED-SPCBoost model proposed in this paper has high robustness and a low error rate. Empirical data verify that it aligns with the prediction law of digitization and stock price collapse. It can provide a valuable reference for digital technology to optimize the governance environment of listed companies and improve the monitoring of financial market risks.

Key words: enterprise digital transformation, risk of share price collapse, information asymmetry, ED-SPCBoost model

胡瑾瑾, 赵雪峰, 吴德林, 吴伟伟. 企业数字化转型对股价崩盘风险预测研究——基于ED-SPCBoost模型[J]. 管理评论, 2023, 35(8): 15-30.

Hu Jinjin, Zhao Xuefeng, Wu Delin, Wu Weiwei. Impact of Enterprise Digital Transformation on the Risk Prediction of Stock Price Crash——Based on the ED-SPCBoost Model[J]. Management Review, 2023, 35(8): 15-30.

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