投资者情绪对股价崩盘的影响——分析师的中介效应  

The Influence of Investor Sentiment on the Stock Price Crash——Analysts′ Mediation Effect

作　　者：梅玫 MEI Mei(School of Business,Anhui University,Hefei 230601,Anhui Province,China)

机构地区：[1]安徽大学商学院

出　　处：《景德镇学院学报》2019年第6期66-69,共4页Journal of JingDeZhen University

基　　金：安徽省哲学社会科学基金青年项目（AHSKQ2015D52）

摘　　要：本文选取2008-2016年沪深两市A股的公司样本,通过投资者情绪指数的构建证实了投资者情绪和股价崩盘风险的正相关关系,即越高涨的投资者情绪越容易引发下一期股价崩盘。进一步地,从不同产权性质出发,我们发现相对于国有上市公司,投资者情绪与股价崩盘风险的正相关关系在非国有企业中更显著。此外,研究表明证券分析师在投资者情绪对上市公司未来股价崩盘风险的影响中起到了中介作用。上述研究对于监管部门防范股价崩盘风险和营造良好市场氛围都具有重要的现实意义。This paper selects a sample of A-share companies in Shanghai and Shenzhen stock markets from 2008 to 2017,and confirms the positive correlation between investor sentiment and the risk of stock price crash through the construction of investor sentiment index.That is,the higher the investor sentiment,the easier it is to trigger the next stock price crash.Further,from the perspective of different property rights,we find that the positive correlation between investor sentiment and the risk of stock price crash is more significant in non-state-owned enterprises than in state-owned listed companies compared with state-owned listed companies.In addition,the research shows that security analysts play an intermediary role in the impact of investor sentiment on the risk of future stock price crash of listed companies.The above research is of great practical significance for the regulatory authorities to prevent the risk of stock price crash and create a good market atmosphere.

关 键 词：股价崩盘风险 投资者情绪 主成成分分析法 行为金融学理论 证券分析师 

分 类 号：F832.5[经济管理—金融学]