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Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets
This paper uses pre-crisis stock price synchronicity to explain the cross-sectional variation in within-crisis synchronicity. Using a large dataset from 19 emerging markets, we show that firms with high pre-crisis synchronicity are affected less by financial crisis than firms with low pre-crisis syn...
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AUC Knowledge Fountain
2015
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| _version_ | 1867613407814877184 |
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| access_status_str | Open Access |
| author | Heleka, Ashraf Abdelnasser |
| author_browse | Heleka, Ashraf Abdelnasser |
| author_facet | Heleka, Ashraf Abdelnasser |
| author_sort | Heleka, Ashraf Abdelnasser |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. |
| description | This paper uses pre-crisis stock price synchronicity to explain the cross-sectional variation in within-crisis synchronicity. Using a large dataset from 19 emerging markets, we show that firms with high pre-crisis synchronicity are affected less by financial crisis than firms with low pre-crisis synchronicity. We document an inverse parabolic relationship between pre-crisis synchronicity and within-crisis synchronicity. Our results show that the relationship between pre-crisis synchronicity and within-crisis synchronicity is positive until a turning point is reached. After that value, pre-crisis synchronicity has a negative impact on within-crisis synchronicity. We argue that firms with high pre-crisis synchronicity are, generally, associated with superior governance mechanisms (Chan and Hameed, 2006; Dasgupta et al., 2010). Better governance mechanisms lead to lower exposure of these firms to financial crisis (Mitton, 2002). Our results are also robust across different sub-samples. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-1125 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:39.635Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-1125 Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets Heleka, Ashraf Abdelnasser This paper uses pre-crisis stock price synchronicity to explain the cross-sectional variation in within-crisis synchronicity. Using a large dataset from 19 emerging markets, we show that firms with high pre-crisis synchronicity are affected less by financial crisis than firms with low pre-crisis synchronicity. We document an inverse parabolic relationship between pre-crisis synchronicity and within-crisis synchronicity. Our results show that the relationship between pre-crisis synchronicity and within-crisis synchronicity is positive until a turning point is reached. After that value, pre-crisis synchronicity has a negative impact on within-crisis synchronicity. We argue that firms with high pre-crisis synchronicity are, generally, associated with superior governance mechanisms (Chan and Hameed, 2006; Dasgupta et al., 2010). Better governance mechanisms lead to lower exposure of these firms to financial crisis (Mitton, 2002). Our results are also robust across different sub-samples. 2015-06-01T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/126 https://fount.aucegypt.edu/context/etds/article/1125/viewcontent/auto_convert.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. Theses and Dissertations AUC Knowledge Fountain Stock Price Synchronicity Financial Crisis |
| spellingShingle | Stock Price Synchronicity Financial Crisis Heleka, Ashraf Abdelnasser Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title | Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title_full | Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title_fullStr | Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title_full_unstemmed | Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title_short | Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets |
| title_sort | stock price synchronicity and firm s exposure to financial crisis evidence from emerging markets |
| topic | Stock Price Synchronicity Financial Crisis |
| url | https://fount.aucegypt.edu/etds/126 https://fount.aucegypt.edu/context/etds/article/1125/viewcontent/auto_convert.pdf |
| work_keys_str_mv | AT helekaashrafabdelnasser stockpricesynchronicityandfirmsexposuretofinancialcrisisevidencefromemergingmarkets |