Empirical Study on the Relationship and Influence Channel Between Stock Liquidity and Stock Price Crash Risk

doi:10.12068/j.issn.1005-3026.2020.02.026

Abstract

Abstract: Based on Governance Theory and Short-termism theory， the fixed effect model was adopted to analyze the panel data of A-share non-financial listed companies from 2007 to 2016， study the relationship between stock liquidity and stock price crash risk， and further analyze the channel of stock liquidity affecting stock price crash risk. The results show that stock liquidity has a significantly positive correlation with crash risk， and proved that stock liquidity affects crash risk through the short-term institutional investor channel. The conclusions may provide valuable references for investors， listed companies and market regulators to understand stock price crash risk from a micro perspective.

Key words: objective, interval particle, intervalstock liquidity, stock price crash risk, governance theory, short-termism theory, panel data

CLC Number:

F830.9

HOU Yu-ting， JIN Xiu. Empirical Study on the Relationship and Influence Channel Between Stock Liquidity and Stock Price Crash Risk[J]. Journal of Northeastern University Natural Science, 2020, 41(2): 300-304.

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