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Stock price crash risk: the role of systematic skewness

Author

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  • Woraphon Wattanatorn
  • Chaiyuth Padungsaksawasdi

Abstract

This study aims to explore an important determinant of stock price crash risk in an emerging market, Thailand. Our results support an important role of systematic skewness on stock price crash risk over the period of 2000 to 2019. Coskewness is negatively associated to stock price crash risk. The findings are robust when including effects of stock liquidity, earnings management, and opaque financial report. Endogeneity is addressed by performing the two-stage least squares methodology.

Suggested Citation

  • Woraphon Wattanatorn & Chaiyuth Padungsaksawasdi, 2022. "Stock price crash risk: the role of systematic skewness," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 15(1), pages 78-93.
    • Handle: RePEc:ids:ijmefi:v:15:y:2022:i:1:p:78-93
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