Idiosyncratic volatility and stock price crash risk: Evidence from china

Jiahui Cao, Fenghua Wen, Yue Zhang, Zhujia Yin and Yun Zhang

Finance Research Letters, 2022, vol. 44, issue C

Abstract: This paper investigates the relationship between idiosyncratic volatility and the risk of a stock price crash in China. Using a large sample of Chinese listed firms from 2007 to 2018, the evidence shows that stock price crash risk is significantly positively associated with idiosyncratic volatility. Moreover, firms with a higher level of idiosyncratic volatility are more likely to experience a crash in stock price. The results are robust to alternative measures of idiosyncratic volatility and stock price crash risk and the findings advance our understanding about the role of short-selling constraints in managing the risk of a stock price crash.

Keywords: Idiosyncratic volatility; Stock price crash risk; Short-selling constraints. JEL classification: g11; g12; g20 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321001768
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001768

DOI: 10.1016/j.frl.2021.102095

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().