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Stock price synchronicity and stock price crash risk: Based on the mediating effect of herding behavior of QFII

Stock price synchronicity and stock price crash risk: Based on the mediating effect of herding... PurposeThis study aims to empirically analyze the effects of stock price synchronicity and herding behavior of QFII on stock price crash risk, especially the mediating effect of herding behavior of QFII on the relation of stock price synchronicity and stock price crash risk.Design/methodology/approachTaking China's A-share listed companies from 2005 to 2014 and QFII holding shares data as the research sample, this study calculates herding effect index, sock price synchronicity index and stock price crash risk index, and perform linear regression. FindingsThis study concludes that, either herding behavior of QFII or the stock price synchronicity can increase the stock price crash risk. Further study reveals that, the herding behavior of QFII also improves the effect of stock price synchronicity on stock price crash risk. Namely, herding behavior of QFII acts as the mediating role between stock price synchronicity and stock price crash risk.Originality/valueThis study empirically analyzes and verifies the mediating roles of herding behavior of QFII in affecting the relation of sock price synchronicity and stock price crash risk for the first time. The findings of this study contribute to the study of the role of QFII in stabilizing Chinese security market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png China Finance Review International Emerald Publishing

Stock price synchronicity and stock price crash risk: Based on the mediating effect of herding behavior of QFII

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
2044-1398
DOI
10.1108/CFRI-05-2015-0047
Publisher site
See Article on Publisher Site

Abstract

PurposeThis study aims to empirically analyze the effects of stock price synchronicity and herding behavior of QFII on stock price crash risk, especially the mediating effect of herding behavior of QFII on the relation of stock price synchronicity and stock price crash risk.Design/methodology/approachTaking China's A-share listed companies from 2005 to 2014 and QFII holding shares data as the research sample, this study calculates herding effect index, sock price synchronicity index and stock price crash risk index, and perform linear regression. FindingsThis study concludes that, either herding behavior of QFII or the stock price synchronicity can increase the stock price crash risk. Further study reveals that, the herding behavior of QFII also improves the effect of stock price synchronicity on stock price crash risk. Namely, herding behavior of QFII acts as the mediating role between stock price synchronicity and stock price crash risk.Originality/valueThis study empirically analyzes and verifies the mediating roles of herding behavior of QFII in affecting the relation of sock price synchronicity and stock price crash risk for the first time. The findings of this study contribute to the study of the role of QFII in stabilizing Chinese security market.

Journal

China Finance Review InternationalEmerald Publishing

Published: Aug 15, 2016

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