股价崩盘风险:众人厄难还是几人欢喜几人愁?

Stock Crash Risk:All Is In Trouble or Several People Happy,A Few People Worry?

股价崩盘风险已经得到了国内外学者的充分探讨,其究竟会产生怎样的经济后果呢?为此,本文首先运用数理模型和文献回顾的方法推导出股价崩盘风险对投资者财富差距的影响,据此提出理论假设;随后引入计算实验的方法构造符合中国实际的人工股票市场进行系统模拟仿真,进行实证检验。研究结果表明:股价崩盘风险与投资者财富差距(2)显著相关;即股价崩盘风险会让信息匮乏投资者的财富受损,而对信息富裕投资者则会带来收益,且股价崩盘风险对信息富裕者财富变化的正向冲击要大于对信息匮乏者财富变化的负向冲击。本文揭示了股价崩盘风险对投资者财富的非对称影响,这种不对称既体现为方向上的不对称又体现为大小上的不对称,这是对股价崩盘风险研究的拓展与深化,同时为监管机构规避股价崩盘风险和投资者保护提供了证据。

Stock price crash risk as the nightmare of regulators and investors,it will have what kind of economic consequences have not yet reached a consensus conclusion.To answer this question,we use abundant literature support and mathematical model derived the relatiosnship of stock crash risk and investor wealth gap,followed by the empirical test on the relationship between the stock price crash risk and investor wealth gap.The results show that：there is a significant correlation between stock crash risk and investor wealth gap;stock crash risk will cause the lack of information investors loss of wealth,and it will bring benefits to wealthy investors,further found that the positive impact on the change of stock crash risk the wealth of the rich information will be greater than that of the lack of information of wealth change negative impact.The conclusion of this paper not only deepens the theory of wealth effect,but also provides theoretical support for regulators to improve information disclosure and reduce the of stock price crash risk.