Stock price crash risk: the role of systematic skewness

Woraphon Wattanatorn and Chaiyuth Padungsaksawasdi

International Journal of Monetary Economics and Finance, 2022, vol. 15, issue 1, 78-93

Abstract: This study aims to explore an important determinant of stock price crash risk in an emerging market, Thailand. Our results support an important role of systematic skewness on stock price crash risk over the period of 2000 to 2019. Coskewness is negatively associated to stock price crash risk. The findings are robust when including effects of stock liquidity, earnings management, and opaque financial report. Endogeneity is addressed by performing the two-stage least squares methodology.

Keywords: stock price crash risk; coskewness; emerging market; systematic skewness; crash risk; negative skewness; tail risk. (search for similar items in EconPapers)
Date: 2022
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