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Crash probability anomaly in the Chinese stock market

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  • Fang, Yi
  • Niu, Hui
  • Tong, Xiangda

Abstract

This study investigates the cross-sectional relationship of stock price crash probability in the Chinese stock market. We find that there is a negative cross-sectional correlation between crash probability and stock return. Meanwhile, we discover that the anomaly of crash probability is affected by market-wide sentiment, which is stronger in high-priced stocks, but not related to company size. Those above findings are diametrically opposite of those of the U.S. market.

Suggested Citation

  • Fang, Yi & Niu, Hui & Tong, Xiangda, 2022. "Crash probability anomaly in the Chinese stock market," Finance Research Letters, Elsevier, vol. 44(C).
    • Handle: RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001434
    DOI: 10.1016/j.frl.2021.102062
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    References listed on IDEAS

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    Cited by:

    1. Fang, Yi & Niu, Hui & Lin, Yuen, 2023. "Ex-ante Valuation based on Prospect Theory," MPRA Paper 116386, University Library of Munich, Germany.

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