| Since its establishment in 1990,China's stock market has achieved rapid development and provided a strong financial guarantee for China's real economy.At the same time,however,there are still many problems in the development of China's stock market.The sudden rise and fall of the market have frequently occurred.Thousands of shares,such as daily limit,limit-down,and suspension,have become a unique phenomenon on the A-share market in China.The stock price crash not only severely attacked the enthusiasm of investors,caused the sluggish stock market,but also hindered the development of China's real economy.Therefore,it is extremely urgent to carry out relevant research on the risk of stock price crashes,in order to rejuvenate the confidence of investors,restore the stability of the capital market,and lay a solid foundation for the real economy.This paper takes the A-share market as the research object,selects the time series data from 2003 to 2017,and uses the linear regression model to analyze the influence of investor sentiment and heterogeneity on the stock price crash risk.It is found that investor sentiment has a positive impact on the risk of a share price crash.Optimistic investor sentiment has a significant impact on the share price crash risk,while pessimism has no significant effect.The VAR model and multivariate regression model were established.The Granger causality test was used to verify the causal relationship between the stock price crash risk and investor sentiment.The impulse response was used to analyze the dynamic influence process of the two,and the variance decomposition was used to analyze the mutual contribution of the two.The study finds that investor sentiment and stock price crash risk are causal relations between each other,and investors' sentiment has a lagging effect on stock price crash risk.In the end,on the basis of the research conclusions,we give suggestions for stabilizing investor sentiment and preventing stock price crashes. |
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