Empirical Analysis On The Determinants Of The Risk Of Stock Price Crash

In recent years,the risk of stock price crash risk has become the focus of public attention,and its key determinants has become the hot topic in academic.In reality,one has already recognized that corporate responsibility and institution investors are two important factors to stock price crash risk.However,we are still far from consensus on the way and the degree of influence.For example,the implementation and the disclosure of corporate social responsibility are driven by ‘value' or by ‘opportunity'? Institutional investors are important participants in the financial markets.Do they either stabilizes or aggravates the fluctuations of stock price? To address these issues,we construct novel econometric models and methods to conduct empirical research on new samples from both internal and external perspectives.In addition,we provide new interpretations to related topics.In this dissertation,we concentrates upon the following two aspects:(1)We conduct theoretical analysis on the influence of corporate responsibility on the risk of stock price crash and propose relevant research hypothesis.From the perspective of internal and external governance,based on Chinese 770 listed companies,we apply panel data model to explore the relationship between the quality of social responsibility information disclosure and the stock price crash risk.The empirical results allow us to draw several conclusions.First,the implementation of social responsibility of most enterprise are ‘opportunity driven'.Second,for most companies,strong internal governance can significantly alleviate their positive relationship,while the weak internal will significantly aggravate the positive relationship.Third,the higher the quality of social responsibility information disclosed by non-financial companies,the greater the probability of crash risk.Fourth,The higher the quality of social responsibility information disclosed by private enterprises,the greater the probability of a crash risk.(2)We conduct qualitative discussing on the influence of institutional investors on the stock price crash and propose relevant research hypothesis.Based on Chinese 237 listed companies,we apply regression model to explore the quantitative rules from the key characteristics of institutional investors,such as width,size,and depth.The empirical results allow us to draw several conclusions.First,there is a U-shaped relation between the number of institutional investors and the stock price crash risk of company,which implies that we can find an optimal number of institutional investors to minimize the possibility of the stock price crash risk.Second,the size of institutional investors can significantly affect the invested enterprise stock price crash risk,and the bigger the size,the smaller the risk;Third,high share holding of institutional investors significantly enlarges the invested enterprise stock price crash risk.The empirical results and conclusions are interesting and promising.It can enrich the research contents of the listed companies' stock price crash risk theoretically.In practice,it can also provide decision support for regulators,listed companies and institutional investors to prevent risks.