Investor Sentiment And Stock Price Crash Risk

At the end of 2019,the “COVID-19” epidemic broke out.Due to the negative anti-epidemic attitudes of Western countries,the spread of the COVID-19 has become more and more violent,and it has gradually become the primary destabilizing factor in today’s world economic structure.The frequency of stock market surges and plunges in stock markets around the world has increased significantly compared to before the epidemic,and whether this is because the real economic activities brought about by the epidemic have been restricted,which has caused a large number of individual investors to carry funds in to market,thereby exacerbating investor sentiment fluctuations.The impact of the risk of stock price collapse is worthy of our investigation.On the contrary,will the continuous plunge of stock prices make investors lose their bullish expectations for the future stock market,and thus produce more pessimistic judgments? Eventually,it will cause a more serious stock market crash and even the recession of the real economy.Therefore,it is of practical significance to study investor sentiment and stock price collapse from the perspective of the COVID-19 epidemic.This paper selects the stock returns of the A-share market as the research object,selects 18 years of time series data from 2003 to 2021,and constructs a Structural Vector Autoregressive Model(SVAR)based on this,and uses it in the Based on the structural vector autoregressive model,the interactive dynamic effects of stock crash risk and investor sentiment under the COVID-19 epidemic and under the COVID-19 epidemic were analyzed respectively.Empirical results show that the impact of investor sentiment on stock price crash risk,both before the epidemic and at the time of the epidemic,is not instantaneous but lags for a period of time.The mutual influence between them lasts longer,and investor sentiment will have a more significant herd effect on the stock price crash risk in the falling stock price range.The research shows that the biggest difference is that the time points from the first period to the second period of the impulse response of stock price crash to investor sentiment are gradually declining under the COVID-19 epidemic,while under the COVID-19 epidemic,the impulse responses of the two are gradually rising.,indicating that the recession period of the impact of investor sentiment on stock price crash risk will be delayed under the COVID-19 epidemic,and the impact will be more profound.The article further conducts an empirical analysis on the herding effect in China’s capital market.The empirical results show that the herding effect has an asymmetric effect in the Chinese stock market,that is,when the market rises sharply,the herding effect is not significant,but when the market falls sharply When the stock market fell sharply under the epidemic,the herd effect was more significant at the 1%level than at the 5% level before the epidemic,indicating irrational The herd effect is an important intermediary channel between investor sentiment and stock price crashes.Finally,the article gives corresponding policy suggestions based on the empirical results.