The impact of illiquidity on firm-level crash risk and the role of media independence: international evidence

Zhe An, Wenlian Gao, Donghui Li, Feifei Zhu

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4 Citations (Scopus)


This study investigates the impact of firm-level illiquidity on stock price crash risk by employing a sample of 21,986 firms across 36 countries spanning the years 1997 to 2007. In doing so, the role of media independence in shaping this impact is also examined. The empirical results suggest that stock illiquidity is significantly and positively associated with firm-level crash risk. Furthermore, the positive association between illiquidity and crash risk has been mitigated in countries with independent media, characterized by a lower level of state ownership and a higher level of press freedom, in addition to the reduction effect of media independence per se on crash risk. Our main conclusions remain valid after taking into account the endogeneity issues and various robustness tests.

Original languageEnglish
Pages (from-to)547-593
Number of pages47
JournalInternational Review of Finance
Issue number4
Publication statusPublished - 1 Dec 2018


  • Illiquidity
  • Crash Risk
  • Media Independence

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