机构投资者持股与股价崩盘风险的关系——基于市场变量的检验

Exploring the relationship between institutional investor holdings and stock price crash risk:A test based on market variables

机构投资者持股对股价崩盘风险的影响是正向还是负向?现有研究文献并没有得到一致的结论,本文认为这个问题需要通过对市场条件进行细分来深入研究.为此,本文以2011年-2015年我国A股上市公司为样本,采用门限模型研究机构投资者持股对股价崩盘风险的影响是否会因市场效率和市场化程度的不同而发生变化.研究发现:机构投资者持股与股价崩盘风险之间存在市场效率和市场化程度的门限效应:当市场效率处在高水平时,机构投资者持股会降低股价崩盘风险,当市场效率处在低水平时,机构投资者持股会加剧股价崩盘风险;上市公司所在地区市场化程度处在高水平时,机构投资者持股会降低股价崩盘风险,上市公司所在地区市场化程度处在低水平时,机构投资者持股会加剧股价崩盘风险;在目前我国的整体市场环境下,机构投资者持股会加大股价崩盘风险.

Researches have not agreed on the relationship between institutional investor holdings and stock price crash risk yet.This article thinks this problem needs to be studied by subdividing market conditions.Therefore,using the Chinese A-share listed companies from 2011 to 2015 as a sample,this paper adopts a threshold model to explore the impact of institutional investor holdings on the stock price crash risk from the perspective of market efficiency and marketization degree.The study finds that market efficiency and marketization degree have a threshold effects on the relationship between institutional investor holdings and stock price crash risk.When the market efficiency is high,institutional investor holdings will reduce the stock price crash risk and when the market efficiency is at a low level,institutional investor holdings will increase the stock price crash risk.When marketization degree of listed companies is high,institutional investor holdings will reduce the stock price crash risk and when the marketization degree of listed companies is low,institutional investor holdings will increase the stock price crash risk.Under current overall market environment in China,institutional investor holdings will increase the stock price crash risk.