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| Monetary Policy, Liquidity Shortage and Stock Price Crash Risk |
| DAI Bingbin, YUE Heng
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International School of Business / Center for International Finance and Accounting Studies, Beijing International Studies University;
Guanghua School of Management, Peking University |
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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.
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Received: 10 January 2015
Published: 19 April 2018
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