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Asia-Pacific Financial Markets
Published in: Asia-Pacific Financial Markets 3/2021

09-11-2020 | Original Research

Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis

Authors: Gang Chu, Xiao Li, Dehua Shen, Yongjie Zhang

Published in: Asia-Pacific Financial Markets | Issue 3/2021

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Abstract

The objective of this paper is to examine the possible linkage between the intraday stock price crashes and jumps and public information by using data from the Chinese stock market and Baidu Index. We divided public information into two kinds of information: supply through online media and information demand across inquiries by individual investors. Using a large sample from Chinese listed firms from 2013 to 2019, our evidence clearly indicates that online information supply and demand both have a positive impact on the intraday crashes and jumps; this is, the firm with higher information supply and demand more likely to experience intraday crashes and jumps. The results are robust to an alternative measure of crash risk. Moreover, we further examine whether the market conditions have an impact on the relationship between information flow and intraday crashes and jumps, and find that the marginal effect of information supply on intraday price crashes and jumps is smaller in the bull market phase. Moreover, the bull market phase enhances the effect of information demand on intraday price crashes and jumps.
previous article Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach
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Footnotes
1
Our findings below are qualitatively unchanged if we only include the lags but not the leads in the expanded index model.
 
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Metadata
Title
Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis
Authors
Gang Chu
Xiao Li
Dehua Shen
Yongjie Zhang
Publication date
09-11-2020
Publisher
Springer Japan
Published in
Asia-Pacific Financial Markets / Issue 3/2021
Print ISSN: 1387-2834
Electronic ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-020-09327-z

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