Migration fear and stock price crash risk

Kuntal Das and Mona Yaghoubi

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.

Keywords: Migration fear; Asymmetric information; Stock price crash risk (search for similar items in EconPapers)
JEL-codes: G10 G41 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000118

DOI: 10.1016/j.intfin.2024.101945

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