Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China
- 10.2991/assehr.k.211209.074How to use a DOI?
- Stochastic model checking; assume-guarantee reasoning; symmetric assume-guarantee rule; learning algorithm; probabilistic automata
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.
- © 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
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 -