Investor sentiment and stock price crash risk: The mediating role of analyst herding
This study analyzes the impact of investor sentiment on firm's stock price crash risk by using Chinese A-Share firms data this study assesses the potency and existence of a relationship between crash risk and investor sentiment in the Chinese stock market and introduces analyst herding as a med...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-03-01
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| Series: | Computers in Human Behavior Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2451958824000046 |
| _version_ | 1797287546243252224 |
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| author | Usman Bashir Umar Nawaz Kayani Shoaib Khan Ali Polat Muntazir Hussain Ahmet Faruk Aysan |
| author_facet | Usman Bashir Umar Nawaz Kayani Shoaib Khan Ali Polat Muntazir Hussain Ahmet Faruk Aysan |
| author_sort | Usman Bashir |
| collection | DOAJ |
| description | This study analyzes the impact of investor sentiment on firm's stock price crash risk by using Chinese A-Share firms data this study assesses the potency and existence of a relationship between crash risk and investor sentiment in the Chinese stock market and introduces analyst herding as a mediating variable for explaining the relationship between crash risk and investor sentiment. By utilizing a large data set of A-share listed firms on Chinese stock exchanges, comprising of 19,371 firm-year observations for the period of 2004–2019, an investor sentiment index is constructed. Results point towards a positive significant relation between stock price crash risk and investor sentiment. Furthermore, stock price crash is positively correlated with analyst herding i.e. it significantly mediates between stock price crash risk and investor sentiment. By measuring the relationship between crash risk, investor sentiment, and analyst herding this study provides systematic support on the mediating role of analyst herding in deepening the market sentiment which results in crash risk. These findings are robust by utilizing alternate proxies and controlling for firm specific variables, economy-wide shocks, and time trends year fixed effects. |
| first_indexed | 2024-03-07T18:35:55Z |
| format | Article |
| id | doaj.art-158349b814534c91888e3cfb58390bf6 |
| institution | Directory Open Access Journal |
| issn | 2451-9588 |
| language | English |
| last_indexed | 2024-03-07T18:35:55Z |
| publishDate | 2024-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Computers in Human Behavior Reports |
| spelling | doaj.art-158349b814534c91888e3cfb58390bf62024-03-02T04:54:33ZengElsevierComputers in Human Behavior Reports2451-95882024-03-0113100371Investor sentiment and stock price crash risk: The mediating role of analyst herdingUsman Bashir0Umar Nawaz Kayani1Shoaib Khan2Ali Polat3Muntazir Hussain4Ahmet Faruk Aysan5University of Bahrain, Sakhir, BahrainCollege of Business, Al Ain University, AbuDhabi, United Arab EmiratesUniversity of Ha'il, Hail, Saudi ArabiaAnkara Yildirim Beyazit University, Ankara, TurkeyCollege of Business, Sohar University, OmanCollege of Islamic Studies, Qatar Foundation, Hamad Bin Khalifa University, Qatar; Corresponding author.This study analyzes the impact of investor sentiment on firm's stock price crash risk by using Chinese A-Share firms data this study assesses the potency and existence of a relationship between crash risk and investor sentiment in the Chinese stock market and introduces analyst herding as a mediating variable for explaining the relationship between crash risk and investor sentiment. By utilizing a large data set of A-share listed firms on Chinese stock exchanges, comprising of 19,371 firm-year observations for the period of 2004–2019, an investor sentiment index is constructed. Results point towards a positive significant relation between stock price crash risk and investor sentiment. Furthermore, stock price crash is positively correlated with analyst herding i.e. it significantly mediates between stock price crash risk and investor sentiment. By measuring the relationship between crash risk, investor sentiment, and analyst herding this study provides systematic support on the mediating role of analyst herding in deepening the market sentiment which results in crash risk. These findings are robust by utilizing alternate proxies and controlling for firm specific variables, economy-wide shocks, and time trends year fixed effects.http://www.sciencedirect.com/science/article/pii/S2451958824000046G1G3 |
| spellingShingle | Usman Bashir Umar Nawaz Kayani Shoaib Khan Ali Polat Muntazir Hussain Ahmet Faruk Aysan Investor sentiment and stock price crash risk: The mediating role of analyst herding Computers in Human Behavior Reports G1 G3 |
| title | Investor sentiment and stock price crash risk: The mediating role of analyst herding |
| title_full | Investor sentiment and stock price crash risk: The mediating role of analyst herding |
| title_fullStr | Investor sentiment and stock price crash risk: The mediating role of analyst herding |
| title_full_unstemmed | Investor sentiment and stock price crash risk: The mediating role of analyst herding |
| title_short | Investor sentiment and stock price crash risk: The mediating role of analyst herding |
| title_sort | investor sentiment and stock price crash risk the mediating role of analyst herding |
| topic | G1 G3 |
| url | http://www.sciencedirect.com/science/article/pii/S2451958824000046 |
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