| In promoting the reasonable allocation of resources and accelerating the high-quality development of the real economy,the importance of the capital market is increasing day by day.However,there is a high proportion of individual investors in the Chinese capital market: according to the latest data released by the Shanghai Stock Exchange Statistical Yearbook,at the end of 2020,the stock market value held by individual investors in China accounted for 56.35% of the total market value held by professional institutions and individuals.Due to the disadvantage of individual investors in terms of education level,information acquisition ability,professional quality,etc.,they are often easily disturbed by emotions and take irrational behaviors when investing.In terms of information and other aspects,institutional investors have natural advantages,but under the specific investor structure and market environment in China,institutional investors will also step on each other and make other behaviors,such as " herd behavior","overconfidence" and "bounded rationality".The existence of such irrational investment behaviors will cause the stock price to deviate from the value,and the crash risk will follow.The financial phenomenon of a stock price crash will not only cause investor wealth to shrink rapidly,but also seriously dampen investors’ confidence in the financial market and seriously hinder the smooth operation of the overall capital market.At the same time,the improvement of the capital market system is also a requirement of the outline of Chinese 2035 longterm goals.Therefore,studying the impact of investor sentiment and behavior on stock price crash risk has both theoretical and practical significance.Using the data of A-share listed companies from 2009 to 2020,this paper examines the effect of investor sentiment or behavior on stock price crash risk,and further explores the joint effect of institutional investor behavior and investor sentiment on stock price crash risk.The empirical results show that:(1)Investor sentiment will significantly and positively affect the risk of stock price crashes;(2)The existence of stable institutional investors is beneficial to reducing the possibility of future stock price crashes;(3)Funds,insurance companies,QFIIs,social security funds and securities companies’ shareholding will increase the risk of stock price crash;(4)The combined effect of investor sentiment and stable institutional investors can significantly reduce the risk of stock price crash;(5)In addition to insurance companies,the shareholding behavior and emotional effects of other types of professional institutional investors will further aggravate the risk of stock price crash.Based on the above conclusions,targeted suggestions are put forward:(1)Vigorously develop investor education and raise the entry threshold for investors;(2)Strengthen the construction of market information transparency;(3)For long-term funds such as social security funds,it is necessary to effectively implement a long-term assessment system;(4)Formulate reasonable supervision and punishment measures,resolutely crack down on the herding and speculative investment behavior of capital,and at the same time strive to improve the risk management mechanism of the stock market;(5)On the premise of guiding institutional investors to participate in the capital market healthily,vigorously cultivate institutional investors and increase the proportion of professional institutional investors in the market. |
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