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.
Management equity incentives and stock price crash risk: “Golden handcuffs” or “gold watch”
