Azala

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
Egile nagusia: Zonon Babatounde Ifred Paterne
Beste egile batzuk: Wang, Xianzhi, Chen, Chuang, Bouraima, Mouhamed Bayane
Argitaratua:
MDPI AG
Gaiak:
China
Diversification
Stock prices
Market segmentation
Valuation
Institutional investments
Costs
Hypotheses
Operating leverage
Bull markets
Causality
Corporate governance
Econometrics
Equity
Asymmetry
Liquidity
Investor behavior
Sarrera elektronikoa:Citation/Abstract
Full Text
Full Text - PDF
Etiketak: Etiketa erantsi
Etiketarik gabe, Izan zaitez lehena erregistro honi etiketa jartzen!
Laburpena: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.
ISSN:2227-7099
DOI:10.3390/economies13060158
Baliabidea:ABI/INFORM Global