Investor Sentiment,Market Manipulation And Crash Risk

From the establishment of the capital market to the present,with the help of a series of policies promulgated by the government,it has continued to developing and its position in the national economy has become increasingly important.With the continuous increase of listed companies in China and the continuous development of the stock market,the stability of the stock market is crucial to the healthy and rapid development of China’s market economy.However,there are still lots of problems existed in China’s capital market,especially the stock price crash caused by the collapse is more harmful.From 2007 to 2015,less than ten years In China,there have been two serious stock market crashes in China’s securities market,leaving investors with the desperation of a thousand stocks and the sharp decline in wealth,which has brought more serious challenges to the regulatory authorities,and attracted the attention of investors、regulators、company managers and scholars.The behavior of withdrawal is common in the stock market,which directly leads to changes in the stock price,and has an impact on the stock price collapse risk.Behind the withdrawal behavior,there are a series of driving factors such as investor sentiment and market manipulation.Individual investors are still the mainstay of transactions.Because individual investors still have certain deficiencies in their professionalism,they are more susceptible to emotions,and investors’emotions often bring about some irrational behaviors.This makes China’s stock market appear to be characterized by greater volatility and excessive speculation.This phenomenon is more serious when stock prices fall.Under the control of emotions,the number of withdrawal orders increases,causing fluctuations in stock prices and increasing the stock price collapse risk.In addition,because laws and regulations are still not perfect,and there are still imperfections in supervision,market manipulations haven’t been totally forbidden,such as a large number of pending orders,withdrawal orders,etc.,which provide false information to the market,resulting in the abnormal changes in the stock price and laying a risk hazard for the stock price crash.Currently,the relevant literature on the risk of stock price collapse is not very comprehensive,especially the research on China’s stock market is more lacking.Based on this research point,the paper explores how the investor sentiment and market manipulation have effects on stock price collapse based on the withdrawal datas.Whether it is to prevent the risk of stock price collapse,or to strengthen investor education,strengthen the supervision of the securities market,and maintain the stable operation of the securities market,it is of great significance.Besides,the datas of the indicators constructed in this paper come from the high-frequency data of the withdrawal market,and the angle is novel and innovative.Firstly,the article expounds the research background and significance,introduces the research progress of relevant literature,then analyzes the mechanism between stock collapse risk and investor sentiment,market manipulation.After that,datas of the Shanghai-Shenzhen A-share listed company from 2010 to 2016 are selected,the negative return skew coefficient(NCSKEW)and the income up and down volatility ratio(DUVOL)as two measures of stock price collapse risk.Based on the data from withdrawal market,using the number of days when the market fell,and the number of all the withdrawals in a year exceeded the standard deviation of 3.09 times as the proxy variables of investor sentiment and market manipulation respectively,empirically testing how investor sentiment,market manipulation have effects on stock price collapse risk.Finally,the article propose measures and policy recommendat:ions to prevent the risk of stock price collapse,under the analysis and calculation before.