移民恐惧与股价暴跌风险

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI:10.1016/j.intfin.2024.101945

Kuntal K. Das, Mona Yaghoubi

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引用次数: 0

摘要

我们研究了移民恐惧是否会增加未来股价暴跌的风险。我们发现，移民恐惧指数每增加 10 个百分点，未来股价暴跌风险就会增加 17 到 19 个百分点。在控制了宏观经济条件（包括经济政策的不确定性）并使用工具变量解决内生性问题后，我们的结果仍然成立。对于信息不对称程度较高的公司和监督机制较弱的公司，移民恐惧对股价暴跌风险的影响更大。我们的结论是，移民恐惧会显著改变金融市场的风险容忍度，并影响股价暴跌风险。

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Migration fear and stock price crash risk

We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.