文献类型：期刊文献

英文题名：Stock price synchronicity and stock price crash risk Based on the mediating effect of herding behavior of QFII

作者：Jin, Yonghong[1];Yan, Mengya[1];Xi, Yuqin[2];Liu, Chunmei[1]

机构：[1]East China Univ Sci & Technol, Shanghai, Peoples R China;[2]Shanghai Univ Int Business & Econ Ringgold Stand, Dept Human Resource, Shanghai, Peoples R China

年份：2016

卷号：6

期号：3

起止页码：230

外文期刊名：CHINA FINANCE REVIEW INTERNATIONAL

收录：WOS:【ESCI(收录号:WOS:000386521100001)】；

基金：This paper is supported by Shanghai Philosophy and Social Science Foundation (No. 2014BJB005), and the Fundamental Research Funds for the Central Universities by the Ministry of Education of China and liberal arts foster fund of East China University of Science and Technology (No. 222201422030).

语种：英文

外文关键词：Crash risk of stock market; Herding behaviour; QFII; Stock price synchronicity

摘要：Purpose - The purpose of this paper is to empirically analyze the effects of stock price synchronicity and herding behavior of qualified foreign institutional investors (QFII) on stock price crash risk, especially the mediating effect of herding behavior of QFII on the relation of stock price synchronicity and stock price crash risk. Design/methodology/approach - Taking China's A-share listed companies from 2005 to 2014 and QFII holding shares data as the research sample, this study calculates herding effect index, sock price synchronicity index and stock price crash risk index, and perform linear regression. Findings - This study concludes that, either herding behavior of QFII or the stock price synchronicity can increase the stock price crash risk. Further study reveals that, the herding behavior of QFII also improves the effect of stock price synchronicity on stock price crash risk. Namely, herding behavior of QFII acts as the mediating role between stock price synchronicity and stock price crash risk. Originality/value - This study empirically analyzes and verifies the mediating roles of herding behavior of QFII in affecting the relation of sock price synchronicity and stock price crash risk for the first time. The findings of this study contribute to the study of the role of QFII in stabilizing Chinese security market.