投资者关注与股价崩盘风险——基于百度指数的实证研究

Study on the Relationship between Investors’Attention and Stock Price Crash Risk——Based on the Analysis of Baidu Index

如何促进资本市场平稳健康发展引发各方关注。本文运用2011~2020年A股上市公司样本,基于上市公司百度搜索指数,分析投资者关注对于企业股价崩盘风险的影响。分析结论表明,投资者关注度提升能够显著降低股价崩盘风险,同时此种影响在牛市样本中更为显著。具体机制来看,投资者关注度提升能够通过外部监督机制的补充和流动性增加两种机制,降低企业股价崩盘风险。同时,信息环境的优化同样能够起到积极作用。本文分析结论有利于进一步厘清市场投资者与股市崩盘风险之间的关联,为维护资本市场稳定提供政策启示。

How to better promote health development of China’s capital market is the focus of all sides.Using the sample of A-list share companies between 2011 to 2020,and based on Baidu stock market index,the paper analyzes the impact of the increase of stock investors’attention on firm’s stock price crash risk.Results find that:Firstly,The increase of stock investors’attention could significantly reduce firms’stock price crash risk;Secondly,the result above is achieved through subsidiary effect of external supervision and the increase of stock liquidity.Meanwhile,the enhancing of information environment is also indispensable.The conclusion above is beneficial to understanding the relationship between investor’s attention and stock price crash risk,and provides policital implication to maintain the stability of capital market.