在我国当前特有的制度环境下，套利限制会如何影响股价崩盘风险？表现形式如何？又是经过何种路径实现的？本文基于异质信念理论、信息隐藏理论以及各种实际因素，理论分析并提出了套利限制的市场崩盘效应、会计崩盘效应、稳定效应三大假说。首先，初步检验发现总体上套利限制会抑制股价崩盘风险，其次，我国特有制度设计、套利的熊市风险释放效应和过度卖空的崩盘效应解释了上述抑制作用，但在不同市场态势下，套利限制表现为牛市崩盘效应和熊市稳定效应两种截然相反的角色。最后，通过中介效应检验，本文发现在市场上涨阶段，套利限制对崩盘风险的影响存在部分的市场流动性路径、部分的市场情绪路径、部分的投资者异质信念路径、部分的会计稳健性路径和部分的会计信息质量路径，验证了市场崩盘效应假说和会计崩盘效应假说；在市场下跌阶段，则存在部分的市场流动性路径、部分的市场情绪路径和部分的投资者异质信念路径，验证了稳定效应假说。总之，针对不同的市场态势，政策制定者应灵活运用各种管控工具，以达到稳定市场、防范系统性风险的目的。

Under the characteristic institutional environment in China, how does limit of arbitrage affect stock price crash risk? And what are paths that help form their relation? This paper proposed three hypothesis. Firstly, this paper finds that crash risk is negatively related to limit of arbitrage. Secondly, China’s specific institutional arrangements, arbitrage’s bear market risk-releasing effect, and crash effect of excessive short-sales help explain the negative relation. Interestingly, while limit of arbitrage decreases crash risk in bear market, it increases crash risk in bull market. Finally, this paper reveals that, in bull market, the positive relation between limit of arbitrage and crash risk is formed by partial market liquidity path, partial market sentiment path, partial investor heterogeneous belief path, partial accounting conservatism path, and partial accounting information quality path, and that in bear market, the negative relation is formed by partial market liquidity path, partial market sentiment path, partial investor heterogeneous belief path.