摘要
本文以2010—2017年中国A股上市公司为样本,考察了投资者关注影响股价崩盘风险的客观表现和传导路径。研究发现,投资者关注度的提高会显著加剧下一期的股价崩盘风险,存在“关注度的崩盘效应”;分组检验发现,关注度的崩盘效应仅在机构持股比例低的公司和市场处于牛市状态下存在;路径检验发现,投资者关注不存在信息路径,没有改善公司信息透明度,但存在部分的情绪路径,提高了股价同步性和投资者情绪,从而加剧了股价崩盘风险。建议监管部门重视投资者关注对股价带来的冲击,通过进一步提高机构者持股比例,缓解情绪过热导致的定价错误程度,降低股价崩盘风险。
Using data of A-share listed companies in China from 2010 to 2017,this paper investigates the objective performance and transmission path of how investor attention impact stock price crash risk.We find that the increase of investor attention significantly aggravates stock price crash risk in the next period,which is the“crash effect of attention”.The grouping tests find that the crash effect of attention only exists in the bull market and those companies with lower institutional ownership ratio.Furthermore,the mediation tests show that there exists only the partial sentiment path,not the information path.Investor attention exacerbates stock price synchronicity and investor sentiment.It is suggested that regulatory authorities should pay attention to the impact of investor attention on stock price,further improve the proportion of institutional shareholders,alleviate the degree of mispricing caused by overheated sentiment,and reduce stock price crash risk.
作者
江婕
邱佳成
朱然
胡海峰
Jiang jie;Qiu Jiacheng;Zhu Ran;Hu Haifeng
出处
《证券市场导报》
CSSCI
北大核心
2020年第3期69-78,共10页
Securities Market Herald
基金
教育部人文社会科学青年基金项目“信息透明度与股价崩盘风险研究”(16YJC790037)。
关键词
投资者关注
投资者情绪
股价同步性
股价崩盘风险
investor attention
investor sentiment
stock price synchronicity
stock price crash risk
