Monetary Policy, Liquidity Shortage and Stock Price Crash Risk
DAI Bingbin, YUE Heng
International School of Business / Center for International Finance and Accounting Studies, Beijing International Studies University; Guanghua School of Management, Peking University
Abstract:
Using a sample of A-share listed firms in China for the period 2004-2012, this paper investigates the relationship between monetary policy and stock price crash risk, and how the fund liquidity shortage and the stock liquidity shortage influence the relationship. The results find that, the tight monetary policy will significantly increase stock price crash risk, and the fund liquidity shortage and the stock liquidity shortage will enhance this positive relationship. It is further found that the other institutional shareholding (other than open-funds shareholding) will reduce the positive influence of the tight monetary and the fund liquidity shortage on stock price crash risk. Our paper helps enrich the literature in stock price crash risk, and also provides implications for both the formulation of monetary policy and the liquidity management.
基金资助: *本文感谢国家自然科学基金优秀青年基金项目(批准号71222204)、国家自然科学基金青年基金项目(批准号71202170、71402004)、北京市属高等学校高层次人才引进与培养计划项目(The Importation and Development of High-Caliber Talents Project of Beijing Municipal Institutions,项目号CIT&TCD201504003)资助。感谢匿名审稿人的宝贵意见。文责自负。
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