Investor Sentiment Impact On The Stock Price Crash Risk

After 30 years of trials and tribulations,China’s capital market has attracted numerous individual securities investors and professional institutional investors,and gradually developed from the initial groping stage to vigorous development.Listed companies,investors and regulators have achieved a double leap in quantity and quality.However,China’s capital market still has a long way to go,there are still institutional limitations,investors’ investment ideas and investment behavior are still immature,the market pricing mechanism is still inefficient,stock price manipulation,boom and slump and other abnormal phenomena.In 2015,the domestic capital market fell by the limit of 1000 shares;COVID-19 epidemic and economic downturn in 2020;In 2021,inflation,the Federal Reserve’s reduction of QE and the Russian Ukrainian war,stock prices plummeted continuously,and so on.The phenomenon of stock price collapse occurs every few years,which cannot be explained by traditional financial theory.As a new research hotspot,investor sentiment has become an important perspective to explain the abnormal fluctuations of the stock market.As a model of professional rationality in the capital market,institutional investors are not only expanding in scale,number and influence,but also the country pays more and more attention to their development and gives corresponding policy dividends.So what role did investor sentiment play in it when the stock price crash occurs?This thesis selects all stocks in China’s A-share market from 2007 to 2021 as a sample to study the impact on the risk of stock price crash is studied by building investor sentiment and emotional volatility indicators at the market level and at the company level.In this basic research model,the perspective of heterogeneous institutional investor shareholding is further introduced,which empirically studies the moderating effect of stable and trading institutional investor shareholding ratio between investor sentiment and the risk of stock price crash.The results show that:(1)Both the investor sentiment at the market level and the company level has a significant positive impact on the risk of future stock price crash.In other words,the higher the investor sentiment,the greater the risk of future stock price crash;(2)The volatility of investor sentiment at the market level and the company level has a significant positive impact on the risk of fu ture stock price collapse.The greater the volatility of investor sentiment,the greater the risk of future stock price collapse;(3)From the perspective of the heterogeneous institutional investor moderating effect,Compared with stable institutional investor holdings,trading institutional investor holdings enhance the positive relationship between investor sentiment and the risk of future stock price collapse.Based on the research conclusion,the policy suggestions put forward in this thesis are as follows:(1)Enhance the consciousness of rational concept and behavior of investors,advocate the concept of value investment,and guide investors to view market fluctuations rationally;(2)Improve the information disclosure system of listed companies,improve market transparency to help investors make rational analysis and independent judgment,and reduce the risk of stock price collapse;(3)Government departments should encourage institutional investors to make rational investment and long-term investment,guide institutional investors to make long-term investment and make balanced allocation to the stock market;(4)Properly manage the market sentiment cycle,improve risk early warning in the capital market,and protect the rights and interests of small and medium-sized investors;(5)Supervise the legality and standardization construction of listed companies and institutional investor,establish a reasonable punishment mechanism,and prevent the occurrence of stock price collapse risk.