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Oil price uncertainty and stock price crash risk: Evidence from China

Jihong Xiao, Xian Chen, Yang Li and Fenghua Wen

Energy Economics, 2022, vol. 112, issue C

Abstract: This paper investigates the impact of oil price uncertainty on stock price crash risk in China. The empirical results based on a sample from 2000 to 2019 show that oil price uncertainty positively affects stock price crash risk. In particular, oil price uncertainty has a greater effect on stock price crash risk for the non-state-owned enterprises, although its positive impact is significant both for the state-owned and non-state-owned enterprises. Further analysis finds that the positive impact of oil price uncertainty on stock price crash risk can be suppressed by corporate risk-taking and becomes weaker in a highly competitive market. Our study supports that oil price uncertainty is also an important factor contributing to stock price crash risk and provides more micro-level evidence for the research on the oil-stock relation.

Keywords: Oil price uncertainty; Stock price crash risk; Chinese stock market; Corporate risk-taking; Production market competition (search for similar items in EconPapers)
JEL-codes: G12 G32 Q40 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.eneco.2022.106118

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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