Abstract:PurposeThis paper aims to investigate the spillover effects of jump and crash events among Chinese nonfinancial firms.Design/methodology/approachThis sample consists of more than 1.5 million weekly observations of over 3,000 Chinese listed firms over the period 1991–2015. The authors utilize univariate tests to compare the post-event performance of matched peer and non-peer control firms and cross-sectional regressions of their abnormal returns/cumulative abnormal returns (ARs/CARs) and returns on assets (ROAs… Show more
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