Research on the Impact of Shadow Banking Activities of Non-Financial Enterprises on Stock Market Volatility

In the current context of financialization, non-financial listed companies are increasingly engaging in shadow banking activities, both as actual credit intermediaries and by indirectly participating in shadow credit markets. Shadow banking activities may not only have a significant impact on the stock prices of non-financial listed companies, but more importantly, they exert profound effects on the volatility and overall risk of the entire A-share market. This paper conducts an empirical examination using non-financial listed companies on China's A-share market from 2011 to 2020 as the research sample. The results show that non-financial listed companies engaged in shadow banking activities experience increased stock price volatility, which is detrimental to the stability of the A-share market. Group regression analysis reveals that this impact is particularly significant in companies with a higher degree of shadow banking activity, whereas the effect on stock price volatility is weaker in companies with lower levels of shadow banking involvement. Further mediation analysis indicates that the profit margin of a company's core business plays a mediating role in the relationship between shadow banking activities and stock price volatility. The shadow banking activities of non-financial enterprises negatively affect their core business profitability, which in turn exacerbates the volatility of their stock prices. Lastly, this paper conducts robustness tests using instrumental variable methods and alternative variables, and the results support the preliminary findings. These findings provide new insights into the shadow banking behavior of non-financial listed companies and its potential impact on stock market volatility, offering empirical evidence for regulatory policy formulation.