Abstract:

The active participation in poverty governance and the fulfillment of corporate social responsibility for listed companies are not only a positive response to the country’s strategic poverty alleviation policies but also an important channel to enhance external perceptions， market reputation， and long-term corporate value. Based on corporate participation in poverty governance， a social responsibility activity with Chinese characteristics， the impact and mechanism of corporate social responsibility on the systemic risk of stock price extreme volatility are explored， both theoretically and empirically. At the theoretical level， an equilibrium model including the household sector and production sector in an economy is presented to analyze the impact of corporate social responsibility activities on stock price extreme volatility risk. The model predicts that socially responsible corporates have lower extreme volatility risk. At the empirical level， Chinese listed companies that participated in poverty alleviation from 2016 to 2019 are used to examine the effect of corporate participation in poverty governance on stock price extreme volatility risk. The empirical results show that the higher the participation of listed companies in poverty governance， the lower the risk of extreme stock price fluctuations in the future. The result holds after we account for potential endogeneity and conduct a series of robustness tests. Furthermore， it is found that the participation of listed companies in poverty governance reduces stock price extreme volatility risk through reputation effect and information effect. The findings in this study enrich the formation mechanism and analysis paradigm of stock price extreme volatility risk and provide evidence support for effectively preventing systemic risk in financial markets. It also has important theoretical and practical significance for the economic consequences of corporate participation in poverty governance.

Key words: corporate social responsibility, poverty governance, stock price surge and crash risk, reputation effect and information effect