Mechanisms Underlying Geopolitical Shocks and Stock Price Crash Risk: Evidence from China

被引：3

作者：

Xu, Nana ^{[1
]}

He, Zhifang ^{[1
]}

Zhou, Fangzhao ^{[1
]}

Ding, Wenjie ^{[2
]}

Chen, Jiaqi ^{[1
,3
]}

机构：

[1] Jiangnan Univ, Sch Business, Wuxi, Peoples R China

[2] Sun Yat Sen Univ, Business Sch, Shenzhen, Peoples R China

[3] Jiangnan Univ, Sch Business, 1800 Lihu Rd, Wuxi 214122, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2023年 / 59卷 / 15期

基金：

中国国家自然科学基金;

关键词：

Geopolitical risk; stock price crash risk; corporate governance; information asymmetry; POLITICAL UNCERTAINTY; POLICY UNCERTAINTY; RETURNS; WORLD;

D O I：

10.1080/1540496X.2023.2195535

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Geopolitical uncertainty imposes a significant impact on stock prices in the stock market. We construct dynamic estimations of geopolitical risk exposure of individual stocks listed in China and examine the relationship between individual geopolitical risk and future stock price crash risk. Our results show that geopolitical risk is a more prominent macro factor than economic policy uncertainty measure that affects stock price crash risk. Investigating the underlying mechanism, we find that firms with highly synchronized stock prices, low analyst coverage ratio, low institutional holdings, and large investor heterogeneity tend to be affected more by geopolitical shocks, leading to future stock price crashes. This study shows the importance of promoting efficient information transmission system and improving corporate governance.

引用

页码：4194 / 4203

页数：10

共 32 条

[1] Stock price synchronicity, crash risk, and institutional investors [J].