| At present,domestic and foreign scholars,the relationship between betting traits and stock crash risk is mostly from the perspective of investor sentiment or speculative behavior,but there is a lack of research on the impact of individual stock betting traits on stock crash risk and its mechanism in the unique institutional context of the Chinese A-share market.The paper therefore investigates the relationship between individual stock betting characteristics and stock crash risk,and focuses on the moderating mechanisms of market frictions such as insufficient liquidity,restricted trading,and lack of risk hedging instruments in the betting characteristics and stock crash risk.This paper builds on theories such as prospect theory,information asymmetry,and market effectiveness hypothesis.The academic stock betting index and the negative return state coefficient are introduced to proxy for the explanatory variable betting trait and the explanatory variable stock price crash risk,respectively,while the Amihud indicator,Zeros indicator,and the availability of finance are introduced as proxies for three dimensions of market frictions,and an empirical test model with moderating variables is constructed.This paper selects individual stocks in China’s A-share main board and GEM markets during 2011-2021,and excludes from them the stocks with less than 30 trading weeks per year,financial and insurance industry,ST,and PT stocks as research samples,and verifies the relationship between individual stock betting characteristics and individual stock price crash risk through a two-way fixed effects model.Second,the moderating effect of market frictions in the risk of stock price collapse is explored through stratified regressions,and finally,the heterogeneity analysis is conducted by dividing the different award samples of listed sectors into three groups: main board,small and medium-sized board,and venture capital board,so as to more intuitively compare the differences in the moderating mechanisms played by different market frictions in different listed sectors,and the research results are tested for Robustness tests are conducted on the results.It is found that(1)there is an obvious positive correlation between gambling characteristics and stock price crash risk,and the higher the gambling characteristics of individual stocks,the higher their stock price crash risk.(2)Market frictions,represented by illiquidity,restricted trading,and lack of risk hedging instruments,play an obvious positive moderating role between gambling characteristics and stock price crash risk.That is,market frictions have a significant reinforcing effect on the relationship between betting gambling characteristics and stock price crash risk.The innovation and research value of this paper is that it analyzes the moderating effect of betting trait and stock price crash risk in the context of China’s stock market characteristics.The study investigates how the effect of gambling trait on stock price crash risk is amplified in the unique institutional soil of Chinese stock market,which is rarely studied in the existing literature,and provides some incremental findings and thinking dimensions for future market institutional reforms in different listed sectors.It has some practical significance and value for both investment behavior improvement,investor education,and future market reform direction and regulatory revelation. |
