金融学院知识库

摘  要

我国资本市场经过三十多年的发展已经取得了有目共睹的成就。但是，相较于西方成熟资本市场，我国资本市场发展较晚，相关的法律法规不够健全，从而使得股价崩盘事件在我国资本市场的发展过程中经常出现。股价崩盘是指股票价格在很短时间内出现断崖式下跌的一个特别行情，它不仅会破坏资本市场正常的社会秩序，而且会削弱投资者的投资信心和投资积极性，严重阻碍资本市场的健康有序发展。

机构投资者是资本市场重要的参与者，对资本市场的发展起到了关键作用。20世纪70年代以来，西方发达国家开始出现机构投资者并且迅速发展。我国在上世纪90年代为了改变投资者结构失衡的问题也开始大力发展机构投资者。并鼓励机构投资者积极参与到公司治理中，对公司管理层的重大决策以及信息披露等方面行使监督权。但是机构投资者在参与公司治理的过程中究竟会稳定股价还是会加速股价崩盘的发生还有待进一步考察。因此探究机构投资者对我国资本市场的影响就显得尤为重要。

本文搜集了2010-2021年我国沪深A股上市公司12000个年度数据，在对国内外相关文献进行梳理并从公司治理、信息不对称等理论出发，运用双重固定效应模型，借助实证研究方法验证不同类型的机构投资者持股是否会影响股价崩盘风险，以及信息透明度这一调节变量在异质机构投资者持股对股价崩盘风险的影响过程中是否起到了调节作用。根据实证结果得到初步结论：（1）机构投资者持股水平与股价崩盘风险之间为正向关系；（2）将机构投资者进行区别分类后，不同类型的机构投资者对股价崩盘风险的影响机制发生改变，随着独立型机构投资者持股比例的增加，股价崩盘风险呈单调递增式增大，而随着非独立机构投资者持股比例的增加，股价崩盘风险先增大然后减小；（3）信息透明度在机构投资者对股价崩盘风险的影响过程中起到了一定的调节作用，即信息透明度提高会显著减弱机构投资者持股和股价崩盘风险之间的正向关系；（4）进一步区分产权性质发现，相对于国有企业而言，在非国有企业中，随着机构投资者持股比例增加，股价发生崩盘的风险越高。

本文的研究有助于提前察觉并降低股价崩盘风险，加深对股价崩盘风险的认识，并给监管部门对不同类型的机构投资者实行分类监督管理提供了一定的参考，有助于我国资本市场的稳定发展。

After more than 30 years of development, China's capital market has made remarkable achievements. However, compared with the mature western capital market, China's capital market developed late, and the relevant laws and regulations were not perfect enough, which made the stock price crash often appear in the development of China's capital market. The stock price crash refers to a special situation in which the stock price falls off a cliff in a short period of time. It will not only destroy the normal social order of the capital market, but also weaken investors' investment confidence and enthusiasm, and seriously hinder the healthy and orderly development of the capital market.

Institutional investors are important participants in the capital market and play a key role in the development of the capital market. Since 1970s, institutional investors have appeared in western developed countries and developed rapidly. In the 1990s, China began to develop institutional investors in order to change the structural imbalance of investors. And encourage institutional investors to actively participate in corporate governance and exercise supervision over major decisions and information disclosure of the company's management. However, whether institutional investors will stabilize the stock price or accelerate the stock price crash in the process of corporate governance remains to be further investigated. Therefore, it is particularly important to explore the influence of institutional investors on China's capital market.

This paper collects 12,000 annual data of China's Shanghai and Shenzhen A-share listed companies from 2010 to 2021. Based on the theories of corporate governance and information asymmetry, this paper empirically demonstrates whether different types of institutional investors' shareholding will affect the risk of stock price collapse, and whether the regulatory variable of information transparency plays a regulatory role in the process of the impact of heterogeneous institutional investors' shareholding on the risk of stock price collapse.According to the empirical results, the preliminary conclusions are as follows: (1)There is a positive relationship between institutional investors' shareholding level and the risk of stock price collapse.(2) After classifying institutional investors, the influence mechanism of different types of institutional investors on the risk of stock price collapse changes. With the increase of independent institutional investors' shareholding ratio, the risk of stock price collapse increases monotonically, while with the increase of non-independent institutional investors' shareholding ratio, the risk of stock price collapse will first increase and then decrease; (3) Information transparency plays a certain regulatory role in the process of institutional investors' influence on the risk of stock price collapse, that is, the improvement of information transparency will significantly weaken the positive relationship between institutional investors' shareholding and the risk of stock price collapse; (4) Further distinguishing the nature of property rights, it is found that, compared with state-owned enterprises, in non-state-owned enterprises, with the increase of institutional investors' shareholding ratio, the risk of stock price collapse is higher.

The findings of this paper are helpful to detect and reduce the risk of stock price crash in advance, deepen the understanding of the risk of stock price crash, and provide certain reference value for the regulatory authorities to supervise and manage different types of institutional investors in a classified manner, thus promoting the stable development of the capital market.