Stock price crashes in emerging markets

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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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.

Item ID: 65432
Item Type: Article (Research - C1)
ISSN: 1873-8036
Keywords: Stock price crashes; Emerging markets; Information; Analyst reports; Price reversal
Copyright Information: © 2020 Elsevier Inc. All rights reserved.
Date Deposited: 19 Jan 2021 06:12
FoR Codes: 38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 100%
SEO Codes: 90 COMMERCIAL SERVICES AND TOURISM > 9001 Financial Services > 900102 Investment Services (excl. Superannuation) @ 100%
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