Investigating the Relationship between Stock Price Synchronicity and Return Distribution
Message:
Abstract:
The purpose of this research is to study studying the relationship between stock price synchronicity and tails of return distribution at Tehran Stock Exchange. The sample consists of 118 companies that have been chosen from among compaines listed in Tehran Stock Exchange during the period of 2010-2014, and hypothesis testing has been done with multiple regression based on panel data. The results of hypothesis testing show that firms with high stock price synchronicity have higher probability of generating positive tails than firms with low synchronicity, and also there is positive relation between stock price synchronicity and skewness. Investors of stocks with hig price synchronicity have lower reaction to bad news in respect to stocks with low price synchronicity. High stock price synchronicity show that market information reflected on stock return is more, and investors suffer only systematic risk. Therefore, it is suggested that investors in Tehran Stock Exchange invest on stocks with higher stock price synchronicity and with higher information transparency.
Article Type:
Research/Original Article
Language:
Persian
Published:
Asset Management and Financing, Volume:6 Issue:3, 2018
Pages:
51 - 66
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