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Stock Price Synchronicity and Information Environment

Author

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  • Ahmad Fraz

    (Capital University of Science and Technology, Islamabad)

  • Arshad Hassan

    (Capital University of Science and Technology, Islamabad)

Abstract

This study investigates the relationship between Stock Price Synchronicity and information environment variables in Pakistani equity market by using data of 133 stocks for the period of June 2002 to June 2016. The results indicate that liquidity, book to market ratio, percentage of zero volume days and size have significant impact on stock price synchronicity. The findings of the study suggest that low R-squared stocks are smaller, have less turnover rate and infrequent trading, which makes them less profitable. During global financial crisis, the stocks are more synchronized with the market. This study further suggests that low-stock-price synchronicity is a result of firm-specific variables.

Suggested Citation

  • Ahmad Fraz & Arshad Hassan, 2017. "Stock Price Synchronicity and Information Environment," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 213-232, December.
    • Handle: RePEc:bec:imsber:v:9:y:2017:i:4:p:213-232
    DOI: dx.doi.org/10.22547/BER/9.4.10
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    File URL: http://imsciences.edu.pk/files/journals/volume9_No%204/Paper%2010.pdf
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    More about this item

    Keywords

    Stock price synchronicity; Idiosyncratic volatility; Karachi stock market; Liquidity;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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