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Migration Fear and Stock Price Crash Risk

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Abstract

We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.

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  • Kuntal K. Das & Mona Yaghoubi, 2024. "Migration Fear and Stock Price Crash Risk," Working Papers in Economics 24/01, University of Canterbury, Department of Economics and Finance.
    • Handle: RePEc:cbt:econwp:24/01
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    Keywords

    Migration fear; Asymmetric information; Stock price crash risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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