Title: Stock price crash risk: the role of systematic skewness

Authors: Woraphon Wattanatorn; Chaiyuth Padungsaksawasdi

Addresses: Department of Finance, Thammasat Business School, Thammasat University, Bangkok, 10200, Thailand ' Department of Finance, Thammasat Business School, Thammasat University, Bangkok, 10200, Thailand

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.

Keywords: stock price crash risk; coskewness; emerging market; systematic skewness; crash risk; negative skewness; tail risk.

DOI: 10.1504/IJMEF.2022.121561

International Journal of Monetary Economics and Finance, 2022 Vol.15 No.1, pp.78 - 93

Received: 28 Sep 2020
Accepted: 29 Sep 2021
Published online: 18 Mar 2022 *

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