摘要
本文以险资介入作为切入点,研究投资者情绪与股价崩盘风险的作用机理。运用2007-2016年上市公司的数据建立面板模型,研究发现:投资者情绪加大股价崩盘风险,二者呈正向关系;险资介入能够在投资者情绪过度高涨、股价有崩盘风险时稳定投资者情绪,在投资者情绪悲观时提高投资者情绪,防止发生股价崩盘风险,此效应在国企样本中更加明显。
With the insurance funds intervention as an entry point,this paper researches the interaction mechanism of investor sentiment and stock price crash risk.The authors of the paper establish a panel model based on the data of listed companies during 2007-2016,and find that the investor sentiment increases stock price crash risk,and their relationship is positive;the insurance funds intervention can stabilize investor sentiment when the investor sentiment is excessively high and the stock price is at crash risk,and can also increase the investor sentiment when the investor shows a pessimistic sentiment so as to prevent the stock price crash risk;this effect is more significant in the samples of state-owned enterprises.
作者
郝芳静
孙健
谢远涛
HAO Fang-jing;SUN Jian;XIE Yuan-tao
出处
《金融论坛》
CSSCI
北大核心
2020年第6期61-70,共10页
Finance Forum
基金
北京市社会科学基金重大项目“北京市金融风险预警与防范研究”(17ZDA26)
国家社科基金项目“发挥社会保障制度的再分配功能研究”(18BJY212)
对外经济贸易大学“风险依赖与精算费率厘定系统研究创新团队”(CXTD9-04)
对外经济贸易大学研究生科研创新项目“协同效应下险资介入对股价风险的影响研究”(201944)
中国人民财产保险股份有限公司灾害研究基金的资助。
关键词
资本市场
险资介入
投资者情绪
股价崩盘风险
金融监管
capital market
insurance funds intervention
investor sentiment
insurance funds
stock price crash risk
financial regulation
