CAJ | 학술논문

市场风险是证券投资领域中备受关注的主题，一直是理论界和实务界的研究热点。本文以沪深两市A股上市公司作为研究样本，从应计质量视角来度量上市公司的会计信息质量水平，运用面板VAR模型实证检验了会计信息质量对市场风险的影响。研究结果表明，上市公司会计信息质量水平在短期内与其市场风险呈现显著负相关关系，经过长期的调整过程，这种冲击效应逐渐弱化，逐渐趋向于0；通过方差分解得出，会计信息质量是市场风险的重要影响因素。在实证检验的基础上，提出了完善会计信息披露制度的政策建议。
시장풍험시증권투자영역중비수관주적주제，일직시이론계화실무계적연구열점。본문이호심량시A고상시공사작위연구양본，종응계질량시각래도량상시공사적회계신식질량수평，운용면판VAR모형실증검험료회계신식질량대시장풍험적영향。연구결과표명，상시공사회계신식질량수평재단기내여기시장풍험정현현저부상관관계，경과장기적조정과정，저충충격효응축점약화，축점추향우0；통과방차분해득출，회계신식질량시시장풍험적중요영향인소。재실증검험적기출상，제출료완선회계신식피로제도적정책건의。
Market risk is a topic highly concerned in the field of securities investment, which has been a research focus of the theoretical and practical circles. This paper chooses the Shanghai and Shenzhen A-share listed companies as samples, measures the accounting information quality of listed companies from the perspective of accruals quality, and empirically tests the effect of accounting information quality on market risk using the panel VAR model. The results show that the level of accounting information quality of listed companies and its market risk presents a significant negative relation in the short term. After a long process of adjustment, this shock effect gradually weakens, and gradually tends to zero. The variance decomposition draws that the accounting information quality is an important impact factor of market risk. At last, we propose policy recommendations to improve the accounting information disclosure system based on the empirical test.