Abstract: This paper tries to depict the stock price crash risk index with financing qualities. It selects the data of Chinese A share listed SMEs from 2005 to 2014 as the samples to investigate the relationship among business credit, bank loans and debt financing cost of bank loans, and stock price crash risk. Then it makes an analysis of the impact of trade credit and bank loan on the financing qualities and value volatility of SMEs. The findings show that trade credit is significantly and positively correlated with stock price crash risk, bank loan is significantly and negatively correlated with stock price crash risk, and debt financing cost is significantly and positively correlated with stock price crash risk. This indicates that different ways of debt financing can have different economic consequences.

Key words: information asymmetry; financing quality; stock price crash risk; trade credit; bank loan