Causal Impact of Stock Price Crash Risk on Cost of Equity: Evidence from Chinese Markets
Gorde:
| Argitaratua izan da: | Economies vol. 13, no. 6 (2025), p. 158-182 |
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| Egile nagusia: | |
| Beste egile batzuk: | , , |
| Argitaratua: |
MDPI AG
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| Gaiak: | |
| Sarrera elektronikoa: | Citation/Abstract Full Text Full Text - PDF |
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MARC
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| 001 | 3223901791 | ||
| 003 | UK-CbPIL | ||
| 022 | |a 2227-7099 | ||
| 024 | 7 | |a 10.3390/economies13060158 |2 doi | |
| 035 | |a 3223901791 | ||
| 045 | 2 | |b d20250101 |b d20251231 | |
| 084 | |a 231456 |2 nlm | ||
| 100 | 1 | |a Zonon Babatounde Ifred Paterne |u School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China | |
| 245 | 1 | |a Causal Impact of Stock Price Crash Risk on Cost of Equity: Evidence from Chinese Markets | |
| 260 | |b MDPI AG |c 2025 | ||
| 513 | |a Journal Article | ||
| 520 | 3 | |a This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China’s segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causality framework, Markov-switching dynamic regression, and panel threshold regression models, the analysis reveals that heightened crash risk significantly increases COE, with the effects being more pronounced for A-shares because of domestic investors’ heightened risk sensitivity. This relationship further intensifies in bull markets, where investor optimism amplifies downside risk perceptions. Ownership segmentation plays a critical role, as foreign investors in B-shares exhibit weaker reliance on firm-level valuation metrics, favoring broader risk-diversification strategies. These findings offer actionable insights into corporate risk management, investor decision making, and policy formulation in segmented and emerging equity markets. | |
| 651 | 4 | |a China | |
| 653 | |a Diversification | ||
| 653 | |a Stock prices | ||
| 653 | |a Market segmentation | ||
| 653 | |a Valuation | ||
| 653 | |a Institutional investments | ||
| 653 | |a Costs | ||
| 653 | |a Hypotheses | ||
| 653 | |a Operating leverage | ||
| 653 | |a Bull markets | ||
| 653 | |a Causality | ||
| 653 | |a Corporate governance | ||
| 653 | |a Econometrics | ||
| 653 | |a Equity | ||
| 653 | |a Asymmetry | ||
| 653 | |a Liquidity | ||
| 653 | |a Investor behavior | ||
| 700 | 1 | |a Wang, Xianzhi |u Faculty of Arts and Social Sciences, Hong Kong Baptist University, Hong Kong SAR 999077, China; xianzhiwang79@gmail.com | |
| 700 | 1 | |a Chen, Chuang |u School of Business, University of New South Wales, Sydney, NSW 2052, Australia; q1310614079@gmail.com | |
| 700 | 1 | |a Bouraima, Mouhamed Bayane |u Sichuan College of Architectural Technology, Deyang 618000, China; bouraimamouhamedbayane@gmail.com | |
| 773 | 0 | |t Economies |g vol. 13, no. 6 (2025), p. 158-182 | |
| 786 | 0 | |d ProQuest |t ABI/INFORM Global | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/3223901791/abstract/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text |u https://www.proquest.com/docview/3223901791/fulltext/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text - PDF |u https://www.proquest.com/docview/3223901791/fulltextPDF/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |