Researches have not agreed on the relationship between institutional investor holdings and stock price crash risk yet. This article thinks this problem needs to be studied by subdividing market conditions. Therefore， using the Chinese A-share listed companies from 2011 to 2015 as a sample，this paper adopts a threshold model to explore the impact of institutional investor holdings on the stock price crash risk from the perspective of market efficiency and marketization degree. The study finds that market efficiency and marketization degree have a threshold effects on the relationship between institutional investor holdings and stock price crash risk. When the market efficiency is high，institutional investor holdings will reduce the stock price crash risk and when the market efficiency is at a low level，institutional investor holdings will increase the stock price crash risk. When marketization degree of listed companies is high，institutional investor holdings will reduce the stock price crash risk and when the marketization degree of listed companies is low，institutional investor holdings will increase the stock price crash risk. Under current overall market environment in China，institutional investor holdings will increase the stock price crash risk.