Investigating the factors that contribute to stock market bubbles and subsequent crashes.
Description
The research paper aims to investigate the factors that contribute to stock market bubbles and subsequent crashes. The study will analyze the macroeconomic factors, market micro-structure factors, and behavioral factors that affect the pattern of stock price fluctuations. The study will differentiate between the rational and irrational components of behavioral factors to provide more insight into financial crises. The research will also categorize crashes into different patterns based on three dimensions: cumulative decline, speed of decline, and duration of the crash. The study will use innovative measures and comprehensive analyses to identify the most influential factors explaining the magnitude and duration of the crash. The study will also review and synthesize empirical research on the antecedents of stock price crash risk to ascertain the macro-, meso-, and micro-level determinants contributing to stock price crashes. The research will identify priority areas for future research and provide a multilevel framework to categorize the determinants of stock price crashes into micro-, meso-, and macro-level factors. The study will provide strong and robust evidence that conservatism in financial reporting reliably predicts stock price crash risk. The research will also investigate the effect of financial risks on the stock market crash occurrence. The study will use the E-GARCH approach to explore the influence of investor sentiment on the return rate of the stock market. The research will assist market participants in making more rational investment decisions based on market laws and help regulators in their roles of supervision and policy making.
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Steps to reproduce
Here are the steps to reproduce the investigation of the factors that contribute to stock market bubbles and subsequent crashes: Conduct a comprehensive analysis of the contributing factors for different patterns of crashes, including macroeconomic factors, market micro-structure factors, and behavioral factors 1 . Differentiate between rational and irrational components of behavioral factors to gain more insight into financial crises 1 . Categorize the determinants of stock price crashes into micro-, meso-, and macro-level factors, including corporate governance, political and legal factors, socioeconomic indicators, customer concentration, industry-level characteristics, media coverage, structural features of ownership, CEO qualities and compensation, business policies, earnings management, financial transparency, managerial characteristics, and firm-specific variables 2 3 . Use innovative measures and comprehensive analyses to identify priority areas for future research 2 . Analyze the effect of financial risks, including market risks, credit risk, and liquidity risk, on the occurrence probability of stock market crashes