Abstract
This paper investigates the impact of oil price uncertainty on stock price crash risk in China. The empirical results based on a sample from 2000 to 2019 show that oil price uncertainty positively affects stock price crash risk. In particular, oil price uncertainty has a greater effect on stock price crash risk for the non-state-owned enterprises, although its positive impact is significant both for the state-owned and non-state-owned enterprises. Further analysis finds that the positive impact of oil price uncertainty on stock price crash risk can be suppressed by corporate risk-taking and becomes weaker in a highly competitive market. Our study supports that oil price uncertainty is also an important factor contributing to stock price crash risk and provides more micro-level evidence for the research on the oil-stock relation.
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