股价暴跌引发的股价崩盘风险不仅会导致个人财富缩水、打击金融市场参与者信心、阻碍资本市场的健康运行，还会降低资源利用效率，进而危害实体经济发展，甚至会引发经济危机。作为世界经济群中的新兴经济体，我国股票市场价格异常波动和崩盘现象时有发生，因此探寻股价崩盘风险的影响因素和形成机制，是预防和减少股价崩盘发生的有益途径。

与市场性崩盘风险不同，微观层面的公司股价崩盘风险往往更有迹可循。既有研究从公司内部管理层、外部投资者、第三方参与者和制度环境等多个角度进行了深入的考察，然而，从交易机制角度的探讨却鲜见。相较于西方成熟的股票市场，我国股票市场存在许多特殊性，特别是一些相关的制度性限制与金融工具的缺乏给我国股市造成了更强的套利限制。据此，本文拟从套利限制的视角出发，探究其与股价崩盘风险的关系。

基于公司层面股价崩盘风险成因的两个主流框架模型，本文从理论上提出套利限制会阻碍负面信息在价格中得以及时反映，从而加剧股价崩盘风险，并且提出信息透明度和投资者情绪两个方面的影响机制。基于中国政策性限制和其它常用的衡量套利限制的市场性指标，从A股市场选取数据，本文构建了套利限制综合因子，数据范围覆盖2001到2018年，以此验证了套利限制和股价崩盘风险的关系。结论如下：首先，套利限制与股价崩盘风险之间显著正相关，支持“套利限制的崩盘风险效应”。其次，只有在公司信息披露质量较差或宏观经济政策不稳定时期，“套利限制的崩盘风险效应”才会发挥作用，从截面和时序两个维度支持了信息透明度影响机制。第三，对于投资者情绪高涨的个股或牛市时期，套利限制对于股价崩盘风险的正向影响进一步增强，支持了投资者情绪影响机制。

这些结果为深入理解套利限制影响股价崩盘风险的潜在机制提供了有意义的见解：一方面，有助于降低套利限制的交易机制设计，有利于降低公司股价崩盘风险；另一方面，改善信息环境和平稳投资者情绪，有助于抑制套利限制的股价崩盘风险效应。

The crash risk caused by the stock price plummet not only shrink personal wealth, undermine the confidence of financial market, and hinder the healthy operation of the capital market, but also reduce the efficiency of resource utilization, which will harm the development of the real economy and even trigger an economic crisis. As an emerging economy in the world economy group, abnormal fluctuations and crashes in Chinese stock market prices occur from time to time. Therefore, exploring the influencing factors and formation mechanism of stock price crashes is a useful way to prevent and reduce the occurrence of stock price crashes.

Unlike the market crash risk at the aggregate level, the micro-level company stock price crash risk is often more traceable. Existing studies have conducted researches from multiple perspectives, including company's internal management, external investors, third-party participants, and institutional environment. However, discussions from the perspective of transaction mechanisms are rare. Compared with the mature stock markets in the West, Chinese stock market has many peculiarities. In particular, the restrictive policies and lack of some financial instruments have imposed stronger arbitrage restrictions on Chinese stock market. Accordingly, this paper intends to explore the relationship between the stock price crash risk and the limits of arbitrage.

Based on the two mainstream framework models of the causes of stock price crash risk at the company level, this paper proposes in theoretical that the limits of arbitrage will prevent negative information from being incorporated into prices in time, thereby exacerbating the risk of price crashes. Furthermore, this paper proposes possible influence mechanisms from two aspects of information transparency and investor sentiment. Based on Chinese policy restrictions and other commonly used market indicators measuring the limits of arbitrage, this paper constructs a comprehensive arbitrage restriction factor. Using data from Chinese A-share market from 2001 to 2018, we empirically examine the relationship between the limits of arbitrage and stock price crash risk. The research found that: First and for most, there is a significant positive correlation between the limits of arbitrage and stock price crash risk, supporting the "crash risk effect of arbitrage restrictions". Secondly, only when the company's information disclosure quality is poor or the macroeconomic policy is unstable, the "crash risk effect of arbitrage restrictions" will play a role, supporting the information transparency impact mechanism from the cross-sectional and time-series dimensions. Third, for stocks with high investor sentiment or periods of bull market, the positive impact of arbitrage restrictions on the risk of stock price crash is further enhanced, supporting the investor sentiment influence mechanism.

These results provide meaningful insights for a deeper understanding of the underlying mechanism of the limits of arbitrage affecting stock price crash risk: on the one hand, the design of trading mechanisms that help reduce the limits of arbitrage is conducive to reducing the company’s stock price crash risk; on the other hand, to improve the information environment or to stabilize investor sentiment will help curb the effect of stock price crash risk of the limits of arbitrage.