Abstract: Improving the construction of the capital market system is an inevitable path to enhancing the functions of the capital market, but the effectiveness of the registration system reform remains to be discussed. From the perspective of stock price collapse risk and investment returns, this paper takes A-share listed companies from 2019 to 2022 as samples and applies dual machine learning to analyze the impact of the registration system reform on the capital market. The findings indicate that the registration system reform not only suppresses the risk of stock price collapse in the capital market, but also reduces the long-term holding returns of investors, reflecting a“double-edged sword”effect. This phenomenon is particularly significant in non-state-owned enterprises, public utilites and industrial enterprises, enterprises with high institutional shareholding ratios, and enterprises in the eastern region. The causal mediation effect shows that the registration system reform plays a role through the three paths: improving the quality of corporate information disclosure, suppressing irrational trading by investors, and reducing capital market liquidity. In addition, the registration system reform can alleviate the financing constraints faced by listed companies, but at the same time, it exacerbates the phenomenon of“focusing on financing”while supporting the development of the real economy. To this end, the government should strengthen the supervision of information disclosure and investor education, improve the delisting system, establish a sound investment return mechanism, and ensure that the registration system reform promotes the sustained and healthy development of the capital market.

Key words: registration system reform, investment return, stock price crash risk, double machine learning, causal mediation effect