隨著經濟全球化的日益深化，大陸也在對外開放的金融市場上得到了快速的發展。而快速發展雖然給人民帶來大量的財富，卻也衍生出一系列社會責任問題，使得企業社會責任理念越來越受到重視。在學術上，有許多文獻討論了公司從事CSR活動本身對於公司績效或股票價值的影響，卻少有文獻從市場資訊的角度出發，探討企業社會責任認證本身是否會對公司未來的股票崩盤風險造成影響。因此本研究選定上海證券交易所所編制的上證社會責任指數(SSE Social Responsibility Index)成分股作為企業社會責任認證變數，以公司年度股票報酬率的偏態係數、公司年度股價崩盤天數作為衡量崩盤風險指標，探討公司企業社會責任認證對崩盤風險之影響。實證結果顯示當公司被調入社會責任指數成分股後其崩盤風險有顯著增加，調出社會責任指數成分股 則對公司崩盤風險無顯著影響。研究進一步發現公司被調入CSR指數成分股後機構投資人持股比例增加，流動性降低，個股價格傳遞效率變差，使得公司總體崩盤風險顯著上升。;With the deepening of economic globalization, China has developed rapidly in the open financial market. While the rapid development has brought us a lot of wealth, it has also derived a series of social responsibility problems, making the concept of corporate social responsibility become more and more important. Academically, existing literature has discussed the impact of CSR activities on corporate performance or stock value, but there are few literature explores whether corporate social responsibility certification will affect the future stock price crash risk of the company. Therefore, this study selects the SSE Social Responsibility Index (SSE) from Shanghai Stock Exchange as the variable of corporate social responsibility certification. The variable of stock price crash risk is measured by the skewed coefficient of the annual stock return and the annual stock price crash days. The data covers the period of 2012 to 2016. Basic empirical result shows that company with CSR certification is associated with greater crash risk. The research also finds the company with CSR certification also has higher institution holding and lower liquidity, which makes the stock price crash risk increased significantly.
