External Information Environment,Investor Sentiment And Stock Crash Risk

In coming the twenty-first century,China stock market experience a dramatic growth.However,with the rapid development of China stock market,the phenomenon of soaring rise and steep fall occur frequently.This would not only harm the enthusiasm of the investors but also go against the stable and healthy development aim of China stock market.Different from prior studies focus on the company inside information,we carry out comprehensive researches about stock crash risk from following two outside information perspective-media focus and investor structure,and investor sentiment.For the study of media focus,we find that,different with prior studies that media focus would reduce stock crash risk,traditional and internet media focus hold no predictive power for stock crash risk.The general median focus and the difference between traditional and internet media focus show significant relations with stock crash risk.Also,based on the studies concerned with institutional owenership and stock crash risk,we employ the agent-based modelling approach to check if investor structure would affect stock crash risk.We find that with the growing weight of informed trader,the stock crash event drop dramatically.This result indicate that the informed trader stabilize the market at some extent.Finally,we employ investor sentiment together with stock crash risk.We first construct a new investor sentiment model based with the number of newly open account,and reach a relatively good fitting degree with the Shanghai Composite index within the corresponding period.Besides,with the application of the regression analysis,we find that China and US sentiment show different impact to China stock crash risk.China stock market investor sentiment present significant relation with super-large blue chip stocks.While,for large blue chip,median size,and small size stocks,the China sentiment displays no significant relations.