Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/927595

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Title
Predicting individual firm's stock crash at the Hong Kong stock exchange
Author/Creator
Agbola, Frank;  So, Roger
Institution
The University of Newcastle. Faculty of Business & Law, School of Economics, Politics and Tourism
Description
This paper investigates the causes of an individual firm's stock crash at the Hong Kong stock market. A probit prediction model relating the probability of a firm experiencing a stock crash to financial ratios and announcement of special events derived and estimated using data obtained from the Hong Kong Stock Exchange database between 1997 and 2005. Results provide strong empirical evidence to support the assertion that financial ratios of firm size, cash position, firm profitability, and announcement of special events by a firm are useful for determining whether a firm experiences a stock crash. The capital structure, quality of earnings and working capital management were found to be statistically non-significant in influencing the probability of experiencing a stock crash at the Hong Kong Stock Exchange.
Relation
3rd International Conference on Contemporary Business (ICCB 2006). Conference Proceedings: 3rd International Conference on Contemporary Business (Leura, N.S.W. 21-22 September, 2006)
Date
2006
Publisher
Charles Sturt University, Faculty of Commerce
Keyword(s)
stock market;  binary logistic model;  financial ratios;  Hong Kong
Resource Type
conference paper
Identifier
http://hdl.handle.net/1959.13/927595
Identifier
ISBN:1864671777
Reviewed
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"Predicting individual firm's stock crash at the Hong Kong stock exchange"
 
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