Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China

Yimin Mou; Linlin Han; Xupei Chen

doi:10.2991/assehr.k.211209.074

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Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China

Authors

Yimin Mou¹^{, a}^{, †}, Linlin Han²^{, b}^{, †}, Xupei Chen³^{, c}^{, †}

¹School of Business University of Monash, Melbourne 3145, Australia

²School of Business University of Monash, Melbourne 3145, Australia

³School of business administration, Nanjing University of Posts & Telecommunications, Nanjing, Jiangsu 210003, China

^b

lhan0023@student.monash.edu

^c

B18110225@njupt.edu.cn.

^†

These authors contributed equally.

^*Corresponding author: e-mail: ^aymou0003@student.monash.edu

Corresponding Author

Yimin Mou

Available Online 15 December 2021.

DOI: 10.2991/assehr.k.211209.074 How to use a DOI?
Keywords: Stochastic model checking; assume-guarantee reasoning; symmetric assume-guarantee rule; learning algorithm; probabilistic automata
Abstract: This paper investigates the impact of economic policy uncertainty (EPU) on stock price crash risk. Adopting two firm-specific crash risk measures: negative conditional skewness (NCSKEW) and downward volatility (DUVOL), we find that China’s EPU had a negative impact on stock price crash risk. This association is robust to a series of robustness checks, including adopting a firm fixed effects model, alternative EPU measure, and additional control variables. Further analyses suggest that the negative correlation of EPU and stock price crash risk is more pronounced for firms with higher analyst coverage. This research shows that EPU can help listed firms make more prudent decisions and reduce future stock price crash risk.
Open Access: This is an open access article under the CC BY-NC license.

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Volume Title: Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series: Advances in Economics, Business and Management Research
Publication Date: 15 December 2021
ISBN: 10.2991/assehr.k.211209.074
ISSN: 2352-5428
DOI: 10.2991/assehr.k.211209.074 How to use a DOI?
Open Access: This is an open access article under the CC BY-NC license.

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ris enw bib

TY  - CONF
AU  - Yimin Mou
AU  - Linlin Han
AU  - Xupei Chen
PY  - 2021
DA  - 2021/12/15
TI  - Economic Policy Uncertainty and Stock Price Crash Risk: Evidence from China
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 444
EP  - 453
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.074
DO  - 10.2991/assehr.k.211209.074
ID  - Mou2021
ER  -

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