关键词: 宏观经济尾部风险, 金融市场稳定性, 企业绩效, 股价崩盘风险

Abstract: Chinese economy is currently facing the triple pressure of shrinking demand, supply shocks and weakening expectations, with external challenges such as Sino-US trade frictions and geopolitical conflicts exerting a negative influence. Macroeconomic tail risks refer to the possibility of extreme downturns in the macroeconomy, a topic of widespread concern. The turbulence in the macroeconomic situation has a profound effect on the sentiment, expectations and actions of various financial market participants, making it very easy to cause significant shocks to the financial markets and induce abnormal market fluctuations. Therefore, closely monitoring the impact of macroeconomic tail risks on the stability of financial markets is of great importance for “firmly holding the bottom line against systemic financial risks”. Extant literature underscores the macroeconomic environment as a pivotal external factor affecting firms’ operational sustainability. Corporate management routinely calibrates business strategies and decision-making in response to macroeconomic conditions, including investment and financing decisions, capital structure optimization and innovation initiatives. Consequently, heightened macroeconomic tail risks may induce strategic adjustments by firms, potentially impacting their equity valuations. This study leverages the behavior of micro-firms to examine how macroeconomic tail risks transmit to financial market stability.
   We conduct an empirical analysis of Chinese A-share listed firms from 2007 to 2022 as the research sample, in order to explore how corporate behavior changes during periods of increased macroeconomic risks and its impact on the stability of financial markets. We employ a panel regression model with controls for quarterly and industry fixed effects for the regression analysis, and the standard errors in the model are clustered at the firm level. The financial data of listed firms and individual stock return data are sourced from the CSMAR financial and economic database, while the Goldman Sachs Current Activity Index (CAI) and the Goldman Sachs Financial Conditions Index (FCI) used to calculate macroeconomic tail risks are obtained from the Bloomberg database. The results show that an increase in macroeconomic tail risks is detrimental to the stability of financial markets. The conclusions remain unchanged after conducting a series of robustness checks such as using instrumental variables, adding explanatory variables, changing sample periods and modifying models. Mechanism analysis reveals that when macroeconomic tail risks increase, firms experience rising financing costs, declining investment efficiency, reduced operational capabilities and increased operational risks. This leads to strong motivation for management to conceal negative corporate information, resulting in higher stock price crash risk and threatening financial market stability. Moreover, the exacerbating effect of macroeconomic tail risks on individual stock price crash risk is more pronounced in firms with poorer profitability, concentrated ownership structures and lower analyst attention.
   This study makes two primary contributions to the existing literature. First, it enhances the understanding of how macroeconomic tail risks influence financial market stability by examining their effects on corporate production and operational activities from a micro-level perspective. While previous research predominantly focuses on measuring macroeconomic tail risks and analyzing their sources and consequences from a macro viewpoint, our study addresses the gap in understanding the micro-level mechanisms. Second, it extends the research on the determinants of financial market stability. While existing literature predominantly focuses on the impact of micro-level factors such as managerial characteristics and corporate governance structures on firm decisions and financial market stability, our study emphasizes the intricate interplay between the macroeconomic environment and financial markets. Our findings reveal that heightened macroeconomic tail risks negatively impact corporate operations and increase management’s tendency to conceal adverse information, thereby compromising financial market stability. These insights have significant implications for corporate risk management practices, internal governance mechanisms and policy considerations. Specifically, they highlight the importance of supporting firms during economic downturns to maintain stable business development and promote high-quality economic growth.

Key words: macroeconomic tail risk, financial market stability, firm performance, stock price crash risk