The Impact Of Investor Sentiment On The Risk Of Stock Price Collapse

A stock price crash is a sudden drop in the price of a stock in a short period of time.When this phenomenon occurs,it will cause a large loss of investors’ investment,which will damage the confidence of investors.An important reason for the collapse of stock prices is investor sentiment,that is,investors’ irrational and emotional investment behavior.China has developed the capital market for more than 30 years,and has always mentioned de-retailing,but so far China’s stock market is still dominated by retail investors.A large number of retail investors do not have the professional knowledge of investment transactions,but they hope to "get rich overnight" in the capital market,relying on "grass news","luck" and other illusory existences to conduct investment transactions,and the transactions are emotional and irrational.This will not only make one’s own investment losses,but also trigger an abnormal rise in the stock market when emotions resonate,and eventually sell together in a common pessimism,causing individual stock prices to crash,and in severe cases,the broader market may crash.In addition,different corporate characteristics will have different effects on the relationship between investor sentiment and stock price crash risk.Based on the perspective of information disclosure quality,this paper explores the impact of investor sentiment on stock price crash risk.In view of this,this paper has sorted out a large number of related literatures at home and abroad.This paper conducts theoretical analysis from the perspective of information asymmetry and behavioral finance,explores the relationship between investor sentiment and stock price crash risk,and adds information disclosure quality to research,puts forward corresponding hypotheses,and conducts empirical analysis to test whether the hypothesis is true.This paper takes China’s A-share listed companies from 2011 to 2020 as the research object,constructs the investor sentiment index at the individual stock level through principal component analysis,calculates the KV index as the quality of information disclosure,calculates the proportion of up and down fluctuations in stock prices and the negative return bias.The state coefficient represents the stock price crash risk.This paper explores the relationship between individual stock-level investor sentiment and stock price crash risk,as well as the moderating effect and threshold effect of information disclosure quality in this relationship.After the conclusion is drawn from the empirical analysis,this paper uses the reconstructed variable method to carry out robustness test to verify the reliability of the conclusion.The empirical results show that: First,there is a positive relationship between investor sentiment and stock price crash risk.At the individual stock level,the higher the investor sentiment,the greater the risk of a stock price crash.Second,the quality of information disclosure has a negative impact on stock price crash risk.At the individual stock level,the larger the KV index,the lower the quality of information disclosure,and the greater the risk of stock price crash.Third,the quality of information disclosure has a moderating effect on the impact of investor sentiment on stock price crash risk.The lower the quality of information disclosure,the smaller the positive impact of investor sentiment on stock price crash risk;the higher the quality of information disclosure,the greater the positive impact of investor sentiment on stock price crash risk.Fourth,the quality of information disclosure has a threshold effect in the process of investor sentiment affecting stock price crash risk.When the information disclosure quality index reaches a certain threshold,the impact of investor sentiment on stock price crash risk will change significantly.In the case of high information disclosure quality,investor sentiment has a greater impact on stock price crash risk,and its impact is 3.37 times that of low information disclosure quality.