Investor Sentiment And Stock Price Crash Risk

In recent years,China’s stock market has experienced ups and downs.The stock market crash has brought great damage to investors,companies and social markets.Most of the existing studies start from the information difference and agency conflict,and attribute the stock price crash to the release of negative information concealed by the management in pursuit of personal interests.This paper is a comprehensive study of the three theories on the causes of stock price crash risk,and deeply discusses the influence mechanism and degree difference of investor market and corporate sentiment on stock price crash risk respectively.This paper selects the data of Shanghai and Shenzhen A-share listed companies from 2010 to 2020 to explore the relationship between them.The research finds that:Firstly,according to the benchmark regression results,under other conditions unchanged,the market and corporate sentiment have an aggravating effect on the crash risk,and passed the endogenous and robustness test.Secondly,the intermediary effect results show that based on the path of information difference,both market and enterprise sentiment will increase the crash risk by causing institutional investors to have a herding effect of ignoring their own information and blindly following other investment decisions;Based on the agency conflict path,under the dual stimulation of personal interests and emotion,both market and corporate emotions will lead to inefficient investment behavior of management,which will exacerbate the crash risk.In addition,the agent conflict path plays a leading role in these two mechanisms.Thirdly,the heterogeneity analysis shows that improving the quality of corporate audit and restricting the power of management are conducive to regulating the impact of market and corporate sentiment on the risk of stock price collapse.Fourthly,from the perspective of influence degree difference,based on the interval difference of vertical threshold effect,market sentiment has an increasing role of marginal effect.Corporate sentiment has a "U" shaped relationship;Based on the horizontal differences of sub sample groups,both market and company sentiment show that the impact effect of non-crash sample group is stronger than that of crash sample group.Finally,from the perspective of regulators,management and investors,this paper puts forward policy recommendations to regulate investor sentiment and prevent the stock price from plummeting.