Does liquidity connectedness affect stock price crash risk? Evidence from China

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-07-04 DOI:10.1016/j.najef.2024.102238

Xin Yang , Xuan Ao , Jie Cao , Chuangxia Huang

引用次数: 0

Abstract

Using a sample of CSI300 over the 2006–2021 period to establish liquidity spillover networks, we find a significantly negative relationship between liquidity connectedness and stock price crash risk. Further analysis shows that liquidity connectedness depresses stock price crash risk through two potential channels: increased conditional conservatism and decreased stock price synchronicity. Moreover, this effect is more prominent for firms with effective external monitoring, firms with lower risk-taking, and state-owned enterprises (SOEs). Overall, our paper shows that liquidity connectedness is an important factor influencing crash risk and provides useful guidance for corporate management and investor decision-making.

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流动性关联性会影响股价暴跌风险吗？来自中国的证据

利用 2006-2021 年期间的沪深 300 指数样本建立流动性溢出网络，我们发现流动性关联性与股价暴跌风险之间存在显著的负相关关系。进一步分析表明，流动性关联性通过两个潜在渠道抑制股价暴跌风险：条件保守主义的增加和股价同步性的降低。此外，这种效应对于外部监督有效的企业、风险承担较低的企业和国有企业更为突出。总之，我们的论文表明，流动性关联性是影响崩盘风险的一个重要因素，并为企业管理和投资者决策提供了有益的指导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.