投资者博彩行为与股价崩盘风险——基于面板数据固定效应模型

Investors’Gambling Behavior and Stock price Crash risk——Based on Analysis of Panel Data and Fixed Effects Model

2008年和2015年两段股价崩盘给投资者造成了巨大损失。文章利用2010年-2018年中国A股上市公司股票季度数据,建立面板数据固定效应模型,从投资者的博彩行为的视角探索其对股票崩盘风险的影响机理,并探索了国有上市企业与非国有上市企业是否会影响投资者博彩行为的表示,从而对股价崩盘风险造成影响。结果表明,投资者博彩行为表示越明显,股价崩盘风险越高,且因为投资者对国有上市企业的偏好比非国有上市企业低和国有企业监管有效性高等原因,使得国有上市企业的崩盘风险更低。文章的结论对投资者以及风险控制、监管部门有一定的参考价值。

The price collapses of 2008 and 2015 caused huge losses to investors.Based on the quarterly data of Chinese a-share listed companies from 2010 to 2018,this research establishes the fixed effect model of panel data and explores the mechanism of its impact on stock crash risk from the perspective of investors’gambling behavior.Besides,this research explores whether state-owned listed enterprises and non-state-owned listed enterprises will influence the expression of investors’gambling behavior,thus affecting the risk of stock price collapse.The results show that the more obvious the expression of investors’gambling behavior,the higher the risk of stock price crash and due to the preference of investors for state-owned listed enterprises is lower than that of state-owned listed enterprises and the regulatory effectiveness of state-owned enterprises is higher,the crash risk of state-owned listed enterprises is lower.The conclusion of this paper has certain reference value for investors,risk control and supervision departments.