Нүүр зураг

Causal Impact of Stock Price Crash Risk on Cost of Equity: Evidence from Chinese Markets

-д хадгалсан:
-д хэвлэсэн:Economies vol. 13, no. 6 (2025), p. 158-182
Үндсэн зохиолч: Zonon Babatounde Ifred Paterne
Бусад зохиолчид: Wang, Xianzhi, Chen, Chuang, Bouraima, Mouhamed Bayane
Хэвлэсэн:
MDPI AG
Нөхцлүүд:
China
Diversification
Stock prices
Market segmentation
Valuation
Institutional investments
Costs
Hypotheses
Operating leverage
Bull markets
Causality
Corporate governance
Econometrics
Equity
Asymmetry
Liquidity
Investor behavior
Онлайн хандалт:Citation/Abstract
Full Text
Full Text - PDF
Шошгууд: Шошго нэмэх
Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!
Хураангуй: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
Эх сурвалж:ABI/INFORM Global