异质性机构投资者持股与股价崩盘风险

Heterogeneous Institutional Investors’ Shareholding and Stock Crash Risk

利用2009—2017年我国A股非金融类上市公司数据,检验了异质性机构投资者持股比例与公司股价崩盘风险之间的关系。结果发现,独立机构投资者持股比例的上升会加剧股价崩盘风险,而非独立机构投资者持股与股价崩盘风险间呈倒U型关系。此外,机构投资者总持股与股价崩盘风险之间也呈倒U型关系,这主要是由非独立机构投资者导致的。因此,有必要重新审视我国独立机构投资者与非独立机构投资者在公司治理中的作用。这一研究有助于进一步理解异质性机构投资者持股与上市公司股价崩盘风险间的关系。

Using the data of Chinese A-share non-financial listed companies for the period of 2009—2017,this paper examines the relationship between the shareholding ratio of institutional investors and stock crash risk.After dividing institutional investors into independent institutional investors and dependent institutional investors,the paper finds that independent institutional investors’shareholding has a positive impact on stock crash risk,while there is an inverted‘U’-shaped association between dependent institutional investors’shareholding and the stock crash risk.Moreover,there is an inverted‘U’-shaped relationship between the total institutional investors and the stock price crash risk,and such an inverted U shape relationship between total institutional investor shareholding and stock crash risk is mainly caused by dependent institutional investors.Therefore,it is necessary to re-examine the role of independent institutional investors and non-independent institutional investors in corporate governance.This paper is helpful to further understand the impact of heterogeneous institutional investor on the stock price crash.