Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China

Authors
Yimin Mou1, a, †, Linlin Han2, b, †, Xupei Chen3, c, †
1School of Business University of Monash, Melbourne 3145, Australia
2School of Business University of Monash, Melbourne 3145, Australia
3School of business administration, Nanjing University of Posts & Telecommunications, Nanjing, Jiangsu 210003, China
†

These authors contributed equally.

*Corresponding author: e-mail: aymou0003@student.monash.edu
Corresponding Author
Yimin Mou
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.074How to use a DOI?
Keywords
Stochastic model checking; assume-guarantee reasoning; symmetric assume-guarantee rule; learning algorithm; probabilistic automata
Abstract

This paper investigates the impact of economic policy uncertainty (EPU) on stock price crash risk. Adopting two firm-specific crash risk measures: negative conditional skewness (NCSKEW) and downward volatility (DUVOL), we find that China’s EPU had a negative impact on stock price crash risk. This association is robust to a series of robustness checks, including adopting a firm fixed effects model, alternative EPU measure, and additional control variables. Further analyses suggest that the negative correlation of EPU and stock price crash risk is more pronounced for firms with higher analyst coverage. This research shows that EPU can help listed firms make more prudent decisions and reduce future stock price crash risk.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.074How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

risenwbib
TY  - CONF
AU  - Yimin Mou
AU  - Linlin Han
AU  - Xupei Chen
PY  - 2021
DA  - 2021/12/15
TI  - Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 444
EP  - 453
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.074
DO  - 10.2991/assehr.k.211209.074
ID  - Mou2021
ER  -