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Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market
The informational role of price synchronicity, the degree of co-movement a stock has with the entire market, has been the subject of investigation in this research. More precisely, the lead-lag relationship between stocks which exhibit high price synchronicity (high R2) and low price synchronicity (...
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AUC Knowledge Fountain
2015
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| _version_ | 1867613417196486656 |
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| access_status_str | Open Access |
| author | Hamouda, Moataz |
| author_browse | Hamouda, Moataz |
| author_facet | Hamouda, Moataz |
| author_sort | Hamouda, Moataz |
| 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 | The informational role of price synchronicity, the degree of co-movement a stock has with the entire market, has been the subject of investigation in this research. More precisely, the lead-lag relationship between stocks which exhibit high price synchronicity (high R2) and low price synchronicity (low R2) was studied using a VAR model. In testing the hypothesis that high R2 stocks lead the low R2 stocks, all the listed stocks in Bombay Stock Exchange (BSE) from January 1999 to December 2012 were examined and portfolios of equally weighted and value weighted High R2 (HS) and Low R2 (LS) were formed. It was found that both the equally weighted and value weighted high R2 stocks lead the low R2 stocks and not vice versa. Additionally, it was found that the high R2 stocks lead the returns of the entire market. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2260 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:48.888Z |
| 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-2260 Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market Hamouda, Moataz The informational role of price synchronicity, the degree of co-movement a stock has with the entire market, has been the subject of investigation in this research. More precisely, the lead-lag relationship between stocks which exhibit high price synchronicity (high R2) and low price synchronicity (low R2) was studied using a VAR model. In testing the hypothesis that high R2 stocks lead the low R2 stocks, all the listed stocks in Bombay Stock Exchange (BSE) from January 1999 to December 2012 were examined and portfolios of equally weighted and value weighted High R2 (HS) and Low R2 (LS) were formed. It was found that both the equally weighted and value weighted high R2 stocks lead the low R2 stocks and not vice versa. Additionally, it was found that the high R2 stocks lead the returns of the entire market. 2015-02-01T08:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1261 https://fount.aucegypt.edu/context/etds/article/2260/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 Informatiol Role Price Synchronicity |
| spellingShingle | Informatiol Role Price Synchronicity Hamouda, Moataz Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title | Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title_full | Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title_fullStr | Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title_full_unstemmed | Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title_short | Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market |
| title_sort | informational role of stock price synchronicity evidence from an emerging market |
| topic | Informatiol Role Price Synchronicity |
| url | https://fount.aucegypt.edu/etds/1261 https://fount.aucegypt.edu/context/etds/article/2260/viewcontent/auto_convert.pdf |
| work_keys_str_mv | AT hamoudamoataz informationalroleofstockpricesynchronicityevidencefromanemergingmarket |