期刊论文

Cao, J

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2024

74

102238

10.1016/j.najef.2024.102238

CRediT authorship contribution statement Xin Yang: Writing – review & editing, Supervision, Methodology, acquisition, Conceptualization. Xuan Ao: Writing – original draft, Visualization, Software, Investigation, Data curation. Jie Cao: Writing – review & editing, Conceptualization. Chuangxia Huang: Methodology, Conceptualization.

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Using a sample of CSI300 over the 2006–2021 period to establish liquidity spillover networks, we find a significantly negative relationship between liquidity connectedness and stock price crash risk. Further analysis shows that liquidity connectedness depresses stock price crash risk through two potential channels: increased conditional conservatism and decreased stock price synchronicity. Moreover, this effect is more prominent for firms with effective external monitoring, firms with lower risk-taking, and state-owned enterprises (SOEs). Over...