Migration Fear and Stock Price Crash Risk

Kuntal Das and Mona Yaghoubi ()
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Mona Yaghoubi: University of Canterbury, https://www.canterbury.ac.nz

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

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)
Pages: 52 pages
Date: 2024-01-01
New Economics Papers: this item is included in nep-cfn and nep-mig
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Migration fear and stock price crash risk (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:24/01

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