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This longitudinal study analyzed 2473 Chinese university students over four years to explore the interplay between academic self-efficacy, depression, and academic performance. The findings revealed: 1) A positive cross-lagged relationship between academic self-efficacy and performance; 2) Depression correlated with performance but lacked a cross-lagged relationship; 3) Notably negative cross-lagged effects were found between self-efficacy and depression, with depression severely impacting self-efficacy over time. Additionally, this study investigated the mediating role of academic self-efficacy in the relationship between depression and academic performance. The effects of academic self-efficacy and depression on the academic performance of college students in China. To improve students’ academic performance, it is necessary to enhance freshman and sophomore academic self-efficacy while decreasing depression throughout college.