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- Title
Economic policy uncertainty and stock price crash risk of commercial banks: Evidence from China.
- Authors
Yuan, Mengyi; Zhang, Lin; Lian, Yonghui
- Abstract
This study examines the impact of economic policy uncertainty on the stock price crash risk of commercial banks based on a sample of 32 Chinese A-share listed banks from Q1 2007 to Q4 2019. Empirical analysis revealed that economic policy uncertainty significantly increases the banks' stock price crash risk. The main findings were valid in a series of robustness tests, including replacing measures of economic policy uncertainty and stock price crash indicators, adding control variables to the model, changing the sample size, and addressing endogenous issues. Further analysis of the moderating effects revealed that higher the financial risk and lower the information transparency of commercial banks, higher are the chances of stock price crash risk being affected by economic policy uncertainty.
- Subjects
CHINA; STOCK prices; ECONOMIC policy; BANKING industry; BANK stocks; FINANCIAL risk; ECONOMIC impact; CAPITAL market
- Publication
Economic Analysis & Policy, 2022, Vol 74, p587
- ISSN
0313-5926
- Publication type
Article
- DOI
10.1016/j.eap.2022.03.018