The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high a...

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Autores principales:	Ningning Pan, Qiuhua Xu, Hongquan Zhu
Formato:	article
Lenguaje:	EN
Publicado:	KeAi Communications Co., Ltd. 2021
Materias:	Crash sensitivity Investor structure Professional institutional investors Non-professional institutional investors Industrial engineering. Management engineering T55.4-60.8
Acceso en línea:	https://doaj.org/article/494549da92a74d65acd17e69b348751e
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spelling	oai:doaj.org-article:494549da92a74d65acd17e69b348751e2021-11-10T04:24:37ZThe impact of investor structure on stock price crash sensitivity: Evidence from China's stock market2096-232010.1016/j.jmse.2021.06.003https://doaj.org/article/494549da92a74d65acd17e69b348751e2021-09-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2096232021000408https://doaj.org/toc/2096-2320Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.Ningning PanQiuhua XuHongquan ZhuKeAi Communications Co., Ltd.articleCrash sensitivityInvestor structureProfessional institutional investorsNon-professional institutional investorsIndustrial engineering. Management engineeringT55.4-60.8ENJournal of Management Science and Engineering, Vol 6, Iss 3, Pp 312-323 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Crash sensitivity Investor structure Professional institutional investors Non-professional institutional investors Industrial engineering. Management engineering T55.4-60.8
spellingShingle	Crash sensitivity Investor structure Professional institutional investors Non-professional institutional investors Industrial engineering. Management engineering T55.4-60.8 Ningning Pan Qiuhua Xu Hongquan Zhu The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
description	Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.
format	article
author	Ningning Pan Qiuhua Xu Hongquan Zhu
author_facet	Ningning Pan Qiuhua Xu Hongquan Zhu
author_sort	Ningning Pan
title	The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
title_short	The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
title_full	The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
title_fullStr	The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
title_full_unstemmed	The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market
title_sort	impact of investor structure on stock price crash sensitivity: evidence from china's stock market
publisher	KeAi Communications Co., Ltd.
publishDate	2021
url	https://doaj.org/article/494549da92a74d65acd17e69b348751e
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The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

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