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Stock price crashes in emerging markets

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  • Bai, Min
  • Qin, Yafeng
  • Zhang, Huiping

Abstract

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.

Suggested Citation

  • Bai, Min & Qin, Yafeng & Zhang, Huiping, 2021. "Stock price crashes in emerging markets," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 466-482.
    • Handle: RePEc:eee:reveco:v:72:y:2021:i:c:p:466-482
    DOI: 10.1016/j.iref.2020.12.007
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    More about this item

    Keywords

    Stock price crashes; Emerging markets; Information; Analyst reports; Price reversal;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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