Abstract
This paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples. From the perspectives of holistic sentiment and heterogeneous sentiment, this paper studies the impact of investor sentiment on stock price crash risk. The results show that investor sentiment can significantly affect stock price crash risk in Shanghai and Shenzhen A-share markets, especially in the Shenzhen A-share market no matter from which perspective. And investor pessimism has a greater impact on stock price crash risk in the Shenzhen A-share market from the perspective of heterogeneous sentiment. Compared with the available researches, this paper makes two contributions: (i) the comparative analysis is adopted to discuss the differences between Shanghai and Shenzhen A-share markets, abandoning the research approach that takes the two markets as a whole in existing literature, and (ii) this paper not only studies the impact of investor holistic sentiment on stock price crash risk from a macro perspective, but also adds a more micro heterogeneous sentiment and conducts a comparative analysis.
Highlights
In the early 1990s, China successively established Shanghai and Shenzhen A-share markets
The phrases reflecting investor sentiment were obtained from social media and analyzed again to construct an investor sentiment index [26]. is type of index innovated the method of measuring investor sentiment and improved the accuracy of the metrics and the ability of investor sentiment to predict stock market returns
In China, companies are not allowed to be listed on both exchanges at the same time. us, this paper takes Shanghai and Shenzhen A-share markets as research objects and selects Shanghai Stock Exchange 180 Index and Shenzhen Stock Exchange 100 Index as stock samples, respectively. e Shanghai Stock Exchange 180 Index is composed of 180 stocks with the largest size and the best liquidity in the Shanghai A-share market
Summary
In the early 1990s, China successively established Shanghai and Shenzhen A-share markets. Due to the obvious differences between Shanghai and Shenzhen A-share markets in many aspects such as the listing system and the scale of listed companies, it is inappropriate to analyze them as a whole Based on these two markets, the article analyzes the differences in the impact of investor sentiment on stock price crash risk. From the perspective of investor sentiment heterogeneity, this paper designs the dummy variables of investor optimism and pessimism and discusses the impact of investor heterogeneity on stock price crash risk in Shanghai and Shenzhen A-share markets. This article studies the impact of investor sentiment on stock price crash risk in Shanghai and Shenzhen A-share markets from the perspectives of holistic sentiment and heterogeneous sentiment and compares and analyzes the empirical results of these two markets to further improve existing research.
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