The effect of firm and stock characteristics on stock returns: Stock market crash analysis

Rizaldi Fauzi, Imam Wahyudi

Research output: Contribution to journalReview articlepeer-review

4 Citations (Scopus)

Abstract

This study aims to determine characteristics of stocks and firms that are deliberately affected by stock market crash occurring in Indonesia. The study uses data for three major stock market crashes that occurred in 1997, 2000, and 2008. The analysis is accomplished by using multivariate regression method. The results of the study find that stocks with higher betas, larger capitalization, more return volatility, higher debt ratios, lower levels of liquid assets, and lower asset profitability tend to lose more value on crash day. This study also finds that there are short-term and long-term momentum effects on stock returns during most of stock market crashes.

Original languageEnglish
Pages (from-to)112-124
Number of pages13
JournalJournal of Finance and Data Science
Volume2
Issue number2
DOIs
Publication statusPublished - Jun 2016

Keywords

  • Crisis
  • Herding behavior
  • Leverage
  • Price reversal
  • Stock market

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