The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashe...
This paper examines the daily return series of four main indices, including Shanghai Stock Exchange Composite Index (SSE), Shenzhen Stock Exchange Component Index (SZSE), Shanghai Shenzhen 300 Index (SHSE-SZSE300), and CSI Smallcap 500 index (CSI500)...
This paper investigates the systemic risk contributions of each financial institution during the stock market crash in China using systemic risk beta. Based on the FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate th...
Political risk, one of the most significant uncertainty shocks, affects firms’ future attitudes toward risks and plays a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore, this...
This paper applies effective transfer entropy to research the information transfer in the Chinese stock market around its crash in 2015. According to the market states, the entire period is divided into four sub-phases: the tranquil, bull, crash, and...
This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China’s segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causali...
This paper examines the effects of the Standard and Poor’s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer ser...
The global economy frequently experiences cycles of rapid growth followed by abrupt crashes, challenging economists and analysts in forecasting and risk management. Crashes like the dot-com bubble crash and the 2008 global financial crisis caused hug...
The study of critical phenomena that originated in the natural sciences has been extended to the financial economics’ field, giving researchers new approaches to risk management, forecasting, the study of bubbles and crashes, and many kinds of...
This study addresses the relationship between accounting quality and audit attributes (i.e., audit quality, auditor industry specialization, audit concentration, and audit fees) with companies’ SPCRs listed on the Iraqi Stock Exchange. A multiv...
The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the perspective of feedback trading. We empirically demonstrate that lever...
There is a large volume of literature in international business on multinationality. There is an equally large volume of literature in finance on stock price crash risk. However, very few studies have attempted to provide a link between these two res...
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stoc...
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese...
This study proposes a framework to diagnose stock market crashes and predict the subsequent price rebounds. Based on the observation of anomalous changes in stock correlation networks during market crashes, we extend the log-periodic power-law model...
Financial time series analyses have played an important role in developing some of the fundamental economic theories. However, many of the published analyses of financial time series focus on long-term average behavior of a market, and thus shed litt...
This paper studies the contribution of real estate bubble to a financial crisis. First, we document symptoms of a real estate bubble along with a slowdown of the real economy and find indicators of an imminent crash of the stock market, triggering a...
Despite air transport being the safest way to travel, accidents still happen, which incur massive costs and many consequences for industry and society. The main objective of this research is to determine the financial impact of air crashes by disting...
This study applies the Log-Periodic Power-Law (LPPL) framework to three major equity markets—Mexico (IPC), Brazil (IBOVESPA), and the United States (NYSE Composite)—using daily closes from 8 November 1991–30 January 2025 for IPC and...
This study examines how geographic distance to Vietnam’s centralized securities regulator—the State Securities Commission (SSC)—influences firm-level stock price crash risk. In emerging markets characterized by weak governance, corr...
This study investigates whether and how the complexity of derivative use influences the stock price crash risk in China’s capital market, a critical question given the growing use of derivatives in emerging economies where governance structures...
As the core of sustainable development strategy, corporate social responsibility (CSR) is a concept that influences business missions, management, operations, finance, and marketing. Studies of the economic consequences of CSR have focused on the the...
Stock price crashes have occurred frequently in the Chinese security market during the last three decades. They have not only caused substantial economic losses to market investors but also seriously threatened the stability and financial safety of t...
This study analyzes the relationship between country-level income inequality and stock price crash risk using a comprehensive cross-country panel of 117,017 firm-year observations from 45 countries spanning 2000–2022. We document that firms hea...
Reducing stock price crash risk is vital for capital market stability, particularly in emerging economies such as China. This study investigates whether Employee Stock Ownership Plans (ESOPs) can mitigate crash risk by analyzing panel data from A-sha...
The present study aims to investigate the effects of macroeconomic variables on stock price crash risk in the economically uncertain conditions of Iran’s market. This study also seeks to examine whether there is a significant relationship between som...
Triggered by COVID-19, one of the most dramatic crashes in the stock market in history occurred in March 2020. The sharp reductions in NASDAQ insurance stock indexes were observed after the occurrence of COVID-19 and in March 2020. In this study, the...
Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors’ downside risk. These...
Investors and practitioners are increasingly concerned with financial assets within the scope of corporate social responsibility (CSR) meaning that, in recent times, such assets have become enshrined in the preferences of the new generations of inves...
This paper is concerned with the multivariate extended skew-normal [MESN] and multivariate extended skew-Student [MEST] distributions, that is, distributions in which the location parameters of the underlying truncated distributions are not zero. The...
Although an imbalance of buying and selling profoundly affects the formation of market trends, a fine-granularity investigation of this perplexity of trading behavior is still missing. Instead of using existing entropy measures, this paper proposed a...
In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures and stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash determinants...
The rapid rise and widespread global adoption of cryptocurrencies in recent years has fundamentally transformed the international financial landscape, with digital assets increasingly being recognized for their potential to influence the stability an...
Following the 2008 financial crisis, multiple studies have contributed to the research on stock price crashes. However, most of the studies on stock price crashes are from the corporate management perspective, focusing on factors such as the board&rs...
We take Chinese A-share listed companies in years 2010–2015 as a sample to examine the relationship between Corporate Social Responsibility (CSR) information disclosure and stock price crash risk using the fixed effect model. The results show t...
Flash crashes in financial markets have become increasingly important, attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and the propagation of shocks in financial markets...
In stock markets, nonlinear interdependencies between various companies result in nontrivial time-varying patterns in stock prices. A network representation of these interdependencies has been successful in identifying and understanding hidden signal...
In this paper, we examine whether fixed asset revaluation has an impact on the timeliness and relevance of information disclosed in financial reporting. Using firms listed in the Korea Stock Exchange market during 2007–2017, this study investig...
The general framework for quantitative technical analysis of market prices is revisited and extended. The concept of a global time-translation invariance and its spontaneous violation and restoration is introduced and discussed. We find that differen...
Using a sample of S&P 500 stocks, this paper examines the investor sentiment spillover network between firms and assesses how the sentiment connectedness in the network impacts stock price crash risk. We demonstrate that firms with higher sentime...
As global financial markets become highly dependent on each other, risk contagion among stock markets is a primary feature of progressing globalization, which poses uncertainties for government agencies. The deficiency of previous studies is that it...
We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approac...
Stock-market-crash predictability is of particular interest in the field of financial time-series analysis. Famous examples of major stock-market crashes are the real-estate bubble in 2008 and COVID-19 in 2020. Several studies have studied the predic...
This research classifies financial events, i.e., the collapse of the Lehman Brothers (2008) and the flash crash (2010), and their effects on two different stocks corresponding to Citigroup Inc. (2009) and Iamgold Corporation (2011) to verify if the m...
Accurately measuring systemic financial risk and analyzing its sources are important issues. This study focuses on the frequency dynamics of volatility connectedness in Chinese financial institutions using a spectral representation framework of gener...
ESG has emerged as a key non-financial indicator, drawing significant investor focus. Disparities in ESG ratings may skew investor perceptions, potentially endangering stock values and financial market stability. This paper examines the link between...
This paper investigates option valuation when the underlying market suffers from illiquidity of price impact. Using option data, I infer trading activities and price impacts on the buy side and the sell side in the stock market from option prices acr...
We explore if the corona-crash 2020 was driven by news attention or rational expectations about the pandemic’s economic impact. Using a sample of 64 national stock markets covering 94% of the world’s GDP, we find the stock markets’...
This study aims to investigate bidirectional risk spillovers between the Chinese and other Asian stock markets. To achieve this, we construct a dynamic Copula-EVT-CoVaR model based on 11 Asian stock indexes from 1 January 2007 to 31 December 2021. Th...
Systemic risks have to be vigilantly guided against at all times in order to prevent their contagion across stock markets. New policies also may not work as desired and even induce shocks to market, especially those emerging ones. Therefore, timely d...
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