The stock price of a firm is dynamically influenced by its own factors as well as those of its peers. In this study, we introduce a Graph Attention Network (GAT) integrated with WaveNet architecture—termed the GAT-WaveNet model—to capture both time-series and spatial dependencies for forecasting the stock price crash risk of Chinese listed firms from 2012 to 2021. Utilizing node-rolling techniques to prevent overfitting, our results show that the GAT-WaveNet model significantly outperforms traditional machine learning models in prediction accuracy. Moreover, investment portfolios leveraging the GAT-WaveNet model substantially exceed the cumulative returns of those based on other models.