流动性、稳定型机构投资者与股价崩盘：有调节的中介效应

Liquidity, Stable Institutional Investors and Stock Price Collapse: Moderated Mediating Effect

摘要: 利用2008~2019年A股880家上市公司数据，考虑异质机构投资者的因素的情况下，考察流动性与股价崩盘风险之间的作用关系。研究表明：1) 流动性与股价崩盘风险之间呈现明显的正向相关性，尤其在稳定型机构分组中表现更为显著；2) 机构投资者在流动性和股价崩盘风险具有调节作用，稳定性机构投资者持股时更加显著；3) 进一步对二者作用机制的研究发现，机构投资者特别是稳定型机构投资者的中介作用显著。

Abstract: Based on the data of 880 A-share listed companies from 2008 to 2019, and considering the factors of heterogeneous institutional investors, this paper investigates the relationship between liquidity and the risk of stock price collapse. The results show that: 1) There is a significant positive correlation between liquidity and stock price collapse risk, especially when stable institutions are grouped; 2) Institutional investors have a moderating effect on liquidity and stock price collapse risk, which is more significant when stable institutional investors hold shares; 3) A further study on the mechanism of the two mechanisms shows that institutional investors, especially stable institutional investors, play a significant intermediary role.