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Does monetary policy affect the stock pledge of listed companies? Evidence from Chinese listed companies

Junling Liu
Junling Liu
, 
Shuaifeng Li
Shuaifeng Li
 y 
Jun Qu
Jun Qu
   | 23 dic 2022
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Publicado en línea: 23 dic 2022
Páginas: 1117 - 1132
Recibido: 03 nov 2022
Aceptado: 19 nov 2022
DOI: https://doi.org/10.2478/amns.2022.1.00031
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© 2022 Junling Liu et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Main variable descriptions.

Variables Sample size Mean Standard deviation Minimum Maximum
PLD 19,965 0.6710 0.4698 0 1
PLR 19,965 0.6032 0.3732 0 1
M2 19,965 0.1076 0.0290 0.081 0.1732
Rrr 19,965 0.1656 0.0248 0.125 0.205
Size 19,965 21.8787 1.1448 17.3882 28.0554
Roa 19,965 0.0283 0.1182 −4.9465 8.2772
Lev 19,965 0.4018 0.2026 0.0080 3.9191
Growth 19,965 1.9391 149.0272 −1.3092 14,883.06
Cash 19,965 0.1881 0.2995 −0.02092 11.9338
Top1 19,965 29.1268 12.8843 2.197 89.99
Age 19,965 2.0663 0.7713 0 3.7136
GDP 19,965 0.0702 0.0218 −0.05 0.164
CPI 19,965 0.0224 0.0075 0.005667 0.06334
FI 19,965 8.9723 3.3710 −1.21 20.69

Major variable definition and its calculation.

Variable Symbol Definition and its calculation
Explained variables Dummy variable of major shareholder stock pledge PLD If there is major shareholder stock pledge at the end of the year, PLD equals to 1; otherwise it is 0
(Pledge) The proportion of major shareholder stock pledge PLR The ratio of pledged stocks to the whole stocks owned by major shareholders at the end of the year
Explanatory variable Quantitative monetary policy M2 The growth rate of M2 yearly
(Monetary) Price monetary policy Rrr Statutory reserve ratio
Control variable Enterprise size Size Natural logarithm of corporate total assets
Profit index Roa Net profit/total assets at the end of the year
Risk index Lev Total liability/total assets
Growth index Growth Current sales revenue/previous sales revenue-1
Cash flow ratio Cash Cash and cash equivalents at the end of the period/total assets
Equity structure Top1 The shareholding ratio of the largest shareholder
GDP growth GDP Regional GDP growth (by province)
CPI CPI Regional CPI (by province)
Financial index FI Regional financial index constructed as H.H Yu et al. (2010)

Monetary policy and stock pledge.

PLD as explained variable PLR as explained variable
(1) (2) (3) (4)
M2 −1.252*** −0.704***
(−9.36) (−7.71)
Rrr 1.091*** 1.444***
(8.53) (10.07)
Firm characteristics Control Control Control Control
Regional characteristics Control Control Control Control
Constant 0.875*** 0.992*** 0.682*** 0.296***
(10.47) (11.11) (11.92) (4.86)
N 19,965 19,965 19,965 19,965
Adj-R2 0.023 0.022 0.115 0.116

Endogenesis and robustness test.

(1) (2) (3) (4) (5)
One-period lag Variable substitution Size reduction PSM Heckman test
PLR PLR PLR PLR PLR
M2 −1.035***
(−10.98)
Rrr 0.907*** 1.404*** 0.896*** 1.224***
(6.98) (7.95) (7.95) (7.65)
IMR 0.062
(0.256)
Firm characteristics Control Control Control Control Control
Regional characteristics Control Control Control Control Control
Constant −0.176*** −0.046*** 0.216*** 0.226*** 0.242***
(−2.73) (−2.63) (3.34) (3.38) (3.32)
N 19,965 19,965 13,739 10,452 13,739
Adj-R2 0.245 0.210 0.186 0.324 0.224

Monetary policy and stock pledge with different political connections.

(1) (2) (3) (4)
Pol = 0, no political connection Pol = 1, political connection
M2 −0.705*** −0.659***
(−3.67) (−6.89)
Rrr 2.084*** 1.384***
(8.04) (7.72)
Firm characteristics Control Control Control Control
Regional characteristics Control Control Control Control
Constant 0.832*** 0.438*** 0.617*** 0.148*
(9.37) (4.64) (8.05) (1.79)
N 13,947 13,947 6,018 6,018
Adj-R2 0.151 0.158 0.091 0.092

Monetary policy and stock pledge with different properties.

(1) (2) (3) (4)
Firm = 0, non-state-owned Firm = 1, state-owned
M2 −0.641*** −0.579***
(−6.87) (−1.80)
Rrr 1.635*** 0.114
(11.12) (0.24)
Firm characteristics Control Control Control Control
Regional characteristics Control Control Control Control
Constant 0.502*** 0.0857 1.141*** 1.019***
(8.45) (1.36) (6.32) (5.11)
N 19,004 19,004 961 961
Adj-R2 0.135 0.138 0.059 0.056

Mediating effect test.

Panel A FV as mediating variable
(1) (2) (3) (4) (5) (6)
PLR FV PLR PLR FV PLR
M2 −0.853*** 0.025 −0.859***
(−8.76) (0.82) (−8.84)
FV 0.227*** 0.215***
(9.54) (9.02)
Rrr 1.420*** 0.332*** 1.349***
(9.26) (6.89) (8.81)
Firm characteristics Control Control Control Control Control Control
Regional characteristics Control Control Control Control Control Control
Constant 0.720*** −0.320*** 0.793*** 0.305*** −0.377*** 0.386***
(11.78) (−16.65) (12.90) (4.68) (−18.44) (5.88)
N 17,775 17,775 17,775 17,775 17,775 17,775
Adj.R2 0.113 0.440 0.117 0.113 0.441 0.117
F 226.01*** 1,380.22*** 215.24*** 228.38*** 1,392.90*** 215.85***
Sobel Z 0.022** 0.090***

Stock pledge of listed companies in China from 2014 to 2021.

Date Pledge companies Pledge number (thousand) Total percentage (A share, %) Total pledged shares (billion) Total pledge market value (trillion)
2021.12.31 2,517 19.6 4.87 419.827 4.18
2020.12.31 2,674 24.3 5.90 490.327 4.31
2019.12.27 3,081 43.5 7.97 580.629 4.58
2018.12.28 3,434 96.8 9.76 634.512 4.23
2017.12.29 3,433 252.4 10.86 568.117 6.15
2016.12.30 2,993 172.5 10.69 442.992 5.40
2015.12.31 2,774 117.8 9.30 297.83 4.93
2014.12.31 2,545 51.2 6.94 216.690 2.58

Monetary policy and stock pledge with different bank–enterprise relationships.

(1) (2) (3) (4)
Bank = 0, no bank–enterprise relationship Bank = 1, bank–enterprise relationship
M2 −0.710*** −0.726***
(−5.77) (−5.44)
Rrr 1.533*** 1.181***
(8.00) (5.56)
Firm characteristics Control Control Control Control
Regional characteristics Control Control Control Control
Constant 0.642*** 0.311*** 0.713*** 0.323***
(7.57) (3.44) (9.30) (3.97)
N 11,128 11,128 8,837 8,837
Adj-R2 0.118 0.118 0.113 0.115
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