经济政策不确定性、投资者情绪与股价崩盘风险

Economic Policy Uncertainty,Investor Sentiment and Stock Price Crash Risk

以2009—2019年中国沪深A股上市企业为研究样本,基于投资者情绪视角考察经济政策不确定性对股价崩盘风险的影响。研究发现经济政策不确定性与股价崩盘风险呈显著正相关关系,经济政策不确定性上升会加剧股价崩盘风险;投资者情绪的调节作用会弱化经济政策不确定性对股价崩盘风险的正向影响;异质性分析表明,经济政策不确定性对股价崩盘风险的影响及投资者情绪的调节作用在非国有企业、高资产负债率企业和机构投资者持股占比较高的企业中更明显。

Based on the data of A-share listed companies in Shanghai and Shenzhen from 2009 to 2019,this paper examines the impact of economic policy uncertainty on stock price crash risk from the perspective of investor sentiment.The results show that:there is a significant positive correlation between the uncertainty of economic policy and the risk of stock price crash;The moderating effect of investor sentiment will weaken the positive impact of economic policy uncertainty on stock price crash risk,which is still true after a series of robustness tests;Heterogeneity analysis shows that the impact of economic policy uncertainty on stock price crash risk and the moderating effect of investor sentiment are more obvious in non-state-owned enterprises,enterprises with high asset liability ratio and enterprises with high proportion of institutional investors.The conclusion expands the research perspective of economic policy uncertainty and stock price crash risk,and provides a theoretical basis for preventing financial risk and promoting the healthy development of capital market.