Investor Sentiment,External Information Channel And Stock Price Crash Risk

In order to investigate the influence of investor sentiment on the stock price crash risk,this paper is based on behavioral finance theory,using stock BBS data of 2015-2019 China A-share listed company to construct an investor sentiment index based on“alternative data”,and from external information sources of Internet news media reports and analysts to investigate the influence of investor sentiment on the stock price crash risk.The results show that the more optimistic investors are in the current period,the higher the risk of the next stock price crash,and the external information sources can create a good information environment,reduce the degree of information asymmetry between investors and companies,and then reduce the influence of investor sentiment on the stock price crash risk.Compared with the analysts’ information,Internet media reports’ negative regulation is more significant.The further analysis research the stock price crash risk under different conditions and the mechanism of action of external information channel between the inspection: through the study of the high and low group of emotions,verify the media information channel and information channels only has an effect on inhibition of investor sentiment,cannot help investor sentiment rebounded when depressed;By grouping the industries with different levels of competition,it is proved that the role of external information channels is more obvious in the industries with low levels of competition and poor information quality.It further proves the role of external information channels as information media and public supervision through the marketization index agency information level.This paper provides a new perspective for the study of behavioral finance based on Internet alternative data,and also provides some reference for preventing the stock price crash risk under the background of the Internet.