Bai, Min, Qin, Yafeng, and Zhang, Huiping (2021) Stock price crashes in emerging markets. International Review of Economics & Finance, 72. pp. 466-482.

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Abstract

This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals. Further analyses show that crashes in countries with a better information environment or a lower level of openness are less likely to reverse in the short run, suggesting that factors such as information transparency and market integration may shape the large swings in emerging market stock prices.

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