Short Sale Restriction,Heterogeneous Beliefs and Stock Price Crash in China
基于Hong和Stein的异质信念模型，使用条件Logit固定效应模型研究中国卖空限制市场中异质信念与个股崩盘的关系，发现异质信念越严重，崩盘越可能发生，建议减少投资者意见分歧和放松卖空限制。
Based on Hong and Stein(2003)heterogeneous beliefs model,this paper employs Conditional Logit with Fixed Effect(CLFE) model to investigate the relationship between heterogeneous beliefs and the crash of individual stocks in the Chinese stock markets with short sale restriction.The results indicate that the crash phenomenon is more likely to occur when the more serious heterogeneous beliefs exist among investors.We suggest that the crash phenomenon will decrease and the market will be more stable if we take the measures to reduce differences of opinion among investors and the relaxation of short sales.