流动性与股价崩盘风险关系及影响渠道的实证研究

Empirical Study on the Relationship and Influence Channel Between Stock Liquidity and Stock Price Crash Risk

以2007—2016年A股非金融类上市公司为样本,基于治理理论和短期主义理论,使用固定效应模型对面板数据进行分析,研究股票流动性与股价崩盘风险的关系,进一步分析股票流动性影响股价崩盘风险的渠道.结果表明,股票流动性与股价崩盘风险呈显著正相关关系,并且证明了股票流动性是通过短期机构投资者渠道影响股价崩盘风险的.研究结论为投资者、上市公司以及市场监管机构从微观视角认识股价崩盘风险提供有价值的参考.

Based on Governance Theory and Short-termism theory,the fixed effect model was adopted to analyze the panel data of A-share non-financial listed companies from 2007 to 2016,study the relationship between stock liquidity and stock price crash risk,and further analyze the channel of stock liquidity affecting stock price crash risk.The results show that stock liquidity has a significantly positive correlation with crash risk,and proved that stock liquidity affects crash risk through the short-term institutional investor channel.The conclusions may provide valuable references for investors,listed companies and market regulators to understand stock price crash risk from a micro perspective.