Stock price crash risk, liquidity and institutional blockholders: evidence from Vietnam

被引:8
作者
Nguyen, Hang Thu [1 ]
Nguyen, Hao Thi Nhu [1 ]
机构
[1] Foreign Trade Univ, Ho Chi Minh City Campus, Ho Chi Minh City, Vietnam
来源
JOURNAL OF ECONOMICS AND DEVELOPMENT | 2024年 / 26卷 / 03期
关键词
Stock liquidity; Crash risk; Institutional ownership; Blockholder; Vietnam; G12; G14; G23; G34; CONSTRAINTS; EARNINGS; RETURNS;
D O I
10.1108/JED-09-2023-0177
中图分类号
F0 [经济学]; F1 [世界各国经济概况、经济史、经济地理]; C [社会科学总论];
学科分类号
0201 ; 020105 ; 03 ; 0303 ;
摘要
PurposeThis study examines the influence of stock liquidity on stock price crash risk and the moderating role of institutional blockholders in Vietnam's stock market.Design/methodology/approachCrash risk is measured by the negative coefficient of skewness of firm-specific weekly returns (NCSKEW) and the down-to-up volatility of firm-specific weekly stock returns (DUVOL). Liquidity is measured by adjusted Amihud illiquidity. The two-stage least squares method is used to address endogeneity issues.FindingsUsing firm-level data from Vietnam, we find that crash risk increases with stock liquidity. The relationship is stronger in firms owned by institutional blockholders. Moreover, intensive selling by institutional blockholders in the future will positively moderate the relationship between liquidity and crash risk.Practical implicationsSince stock liquidity could exacerbate crash risk through institutional blockholder trading, firm managers should avoid bad news accumulation and practice timely information disclosures. Investors should be mindful of the risk associated with liquidity and blockholder trading.Originality/valueWe contribute to the literature by showing that the activities of blockholders could partly explain the relationship between liquidity and crash risk. High liquidity encourages blockholders to exit upon receiving private bad news.
引用
收藏
页码:174 / 188
页数:15
相关论文
共 46 条
[41]   Internal corporate governance and stock price crash risk: evidence from Vietnam [J].
Van Cuong Dang ;
Quang Khai Nguyen .
JOURNAL OF SUSTAINABLE FINANCE & INVESTMENT, 2024, 14 (01) :24-41
[42]   Foreign Investors and Stock Price Crash Risk: Evidence from Vietnam [J].
Vo Xuan Vinh .
INTERNATIONAL REVIEW OF FINANCE, 2020, 20 (04) :993-1004
[43]   Retail investor attention and stock price crash risk: Evidence from China [J].
Wen, Fenghua ;
Xu, Longhao ;
Ouyang, Guangda ;
Kou, Gang .
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2019, 65
[44]   Financial constraints risk [J].
Whited, TM ;
Wu, GJ .
REVIEW OF FINANCIAL STUDIES, 2006, 19 (02) :531-559
[45]   Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed? [J].
Yan, Xuemin ;
Zhang, Zhe .
REVIEW OF FINANCIAL STUDIES, 2009, 22 (02) :893-924
[46]  
Zhang HL, 2018, ANN ECON FINANC, V19, P653