School bullying victimization, depression, and the role of school connectedness among junior high school students in Hong Kong: evidence from fixed-effects models

School bullying victimization can lead to severe health consequences. However, less is known about the moderating and mediating factors of the association between school bullying victimization and depression, especially in Hong Kong. Therefore, we examined the moderating and mediating roles of school connectedness on the association between school bullying victimization and depression while controlling for unobserved time-invariant confounders among junior high school students in Hong Kong. We employed two-wave follow-up data collected from junior high school students (Grades 7–9) in Hong Kong. We used the depression dimension of the Brief Symptom Rating Scale, the California School Climate and Safety Survey, and five items from the National Longitudinal Study of Adolescent Health to measure depression, school bullying victimization, and school connectedness. We conducted fixed-effects linear regression and mediation analysis to answer the research questions. School bullying victimization was associated with reduced school connectedness (β = -0.080, 95% CI: -0.138, -0.021), and reduced school connectedness was associated with greater depression (β = -0.049, 95% CI: -0.078, -0.021). School connectedness mediated 12.86% of the association between school bullying victimization and depression. The moderating effect of school connectedness on the association between school bullying victimization and depression was not significant (β = -0.002, 95% CI: -0.005,0.001). Interventions aimed at alleviating depression of students who experienced bullying should assist them in reestablishing their school connectedness. When reestablishing school connectedness to cope with the detrimental impact of bullying victimization on depression, interventions should consider the overall school environment.