Crash Probability Anomaly in the Chinese Stock Market

15 Pages Posted: 12 Apr 2021

See all articles by Yi Fang

Yi Fang

Jilin University (JLU) - Center for Quantitative Economics

Hui Niu

Jilin University (JLU)

Xiangda Tong

affiliation not provided to SSRN

Date Written: March 8, 2021

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.

Keywords: Price crashes; Overpricing; Anomalies; Investor Sentiment

JEL Classification: G10;G11

Suggested Citation

Fang, Yi and Niu, Hui and Tong, Xiangda, Crash Probability Anomaly in the Chinese Stock Market (March 8, 2021). Available at SSRN: https://ssrn.com/abstract=3823741 or http://dx.doi.org/10.2139/ssrn.3823741

Yi Fang (Contact Author)

Jilin University (JLU) - Center for Quantitative Economics ( email )

Changchun, Jilin 130012
China

Hui Niu

Jilin University (JLU) ( email )

Qianjin Road
Changchun, Jilin 130012
China

Xiangda Tong

affiliation not provided to SSRN

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