Social Security Fund And Stock Price Crash Risk

The China’s National Security Fund was established in August 2000 and is managed by the National Council for Security Fund.With the development of economy in China,the growing population of the old has increased a lot.The Social Security system and Medical Insurance are facing uninterruptedly pressure.To preserved and increased the value of pension,the Social Security Fund has officially entered the stock market in 2003.It has so far became the largest institutional investor in China.Various factors would cause the change of price in stock markets.If stock price rises and slumps sharply,it will has negative influence on economic stability.And if stock index or stock price suffers a large-scale drop,which is called stock price crash,it will cause great damages to all investors and bring enormous harms to social economy.Therefore,the impact of Social Security Fund on stock market is wroth studying.With the data of listed companies from A shares market of China between 2006 and 2019,this paper adapted a combination of theoretical research and empirical research to find out the relationships between The Social Security Fund and stock price crash.The empirical research proved that The Social Security Fund strengthened stock price crash.In order to test the robustness of empirical research,this paper used alternative variables and delete the inappropriate data from samples to do the second test.To address the endogeneity concern,Empirical analysis was done with all independent variables were one-year lagged and Propensity Score Matching Analysis was also used.By using empirical research,this paper proved that The Social Security Fund will strengthen stock price crash,which has also enriched relevant literature and made a little contribution to management of capital market.In practice,it is helpful to individual investors.