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Showing 4 results for Stock Price Synchronicity
Ahmad Fallahzadeh Abarghouhei, Akram Taftiyan, Forough Heirany,
year 9, Issue 36 (1-2018)
Abstract
High Transparency of information can be influential on the Stock price synchronicity and crash risk by reducing information asymmetry and information risk. On the other hand, according to the signal theory, the Stock price synchronicity and crash risk can also affect the level of information disclosure . Therefore, This study aims to examine the interaction relationship between voluntary disclosure of information with Stock price synchronicity and crash risk in the companies listed on the Tehran Stock Exchange. The statistical population of the study has been determined using systematic knockout method; which includes 66 companies for a period of 8 years during the years 2008 to 2015 .To test the research hypotheses has been used the system of simultaneous equations and analysis of two-stage regression coefficients. Measuring the Level of voluntary Disclosure of Information is done based on the weight index with the same level of importance and using a checklist containing 10 dimensions and 307 Voluntary components. Stock price synchronization calculate Based on daily market and industry returns in a financial year and its impact on the daily returns of the company. Also to measure the Stock price crash risk has been used daily stock price crash. The results of the estimation indicate a interaction negative and significant relationship between the voluntary disclosure of information and the Stock price crash risk in Tehran Stock Exchange. In other words the desire of managers to disclose bad news and to expedite the reporting of good news can lead to a Stock price crash risk. Also based on the results of this research there is no significant interaction relationship between voluntary disclosure of information and Stock price synchronicity in Tehran Stock Exchange.
Mohammad Javad Zare Bahnamiri, Ladan Kashiri,
year 10, Issue 38 (10-2018)
Abstract
In different researches, have been made significant efforts to study and understand the investment behavior of market participants and the impact of these factors on the price of securities, because the behaviors that affect the investment decisions of participants in market have an important role. This study examines the effect of liquidity as a mediator on the relationship between the Stock price synchronicity and herd behavior of shareholders (real and legal). The sample companies in this study belong to the companies admitted in the Tehran Stock Exchange from 2011 to 2016. In this study the Pyotrosky and Roleston models (2004) have been used to measure the price synchronization and the Lakonishok model (1992) for measuring the behavior of the consumers as well as the models of Chai et al (2010) for the liquidity criteria. Findings show that there is a positive and significant relationship between Stock price synchronicity and herd behavior of shareholders (real and legal); Also the results show the mediating role of liquidity criteria in the relationship between Stock price synchronicity and herd behavior of shareholders (real and legal); This effect is partly related to the Stock price synchronicity and herd behavior of legal shareholders and full in the relationship between stock price synchronicity and herd behavior of real shareholders.
Mohammad Yaghoubi, Vahid Seyfi, Mahdi Sadeghi Shahdani,
year 14, Issue 54 (10-2022)
Abstract
The present study, while stating the difference between the Stock price synchronicity and the Idiosyncratic Risk, examines the relationship between these two concepts with the firm's information environment. The research period is from 2013 to 2019. The statistical population of the study was the listed companies on the Tehran Stock Exchange that finally 131 eligible firms were selected in this study. In order to measure the Stock price synchronicity, the criterion of the regression coefficient of stock return on market return has been used, and to measure the Idiosyncratic Risk, the standard deviation of the same regression error has been used. Also, size, liquidity, leverage and Return on equity (ROE) have been used as variables of the firm's information environment. The results indicate a positive and significant relationship between both the Stock price synchronicity and the Idiosyncratic Risk with most of the criteria representing information environment that has been studied in this study. In other words, improving the information environment and increasing the information efficiency of firms leads to an increase in the Stock price synchronicity and the Idiosyncratic Risk.
Seyed Hesam Vaghfi, Jeyran Seddighi , Seyed Ehsan Hosseini , Saeed Pakdelan,
year 15, Issue 60 (9-2023)
Abstract
Abstract
Stock mispricing is a situation where the stock price in the market capital differs from its intrinsic value. Incorrect stock pricing lead to a decreased efficiency in resource allocation in the stock market. Given the importance of stock pricing in the capital market, this study aims to investigate the effect of stock price synchronization on stock mispricing, with a focus on the role of financial reporting quality.The population of the research consisted of all the companies admitted to the Tehran Stock Exchange. Using the specified limitations, 149 companies were selected as the sample for the period of 2011-2021, and the research hypotheses were tested using the multivariate regression method.The findings from the test of research hypotheses indicate that the Synchronicity of stock prices has a significant and direct relationship with stock mispricing. Conversely, the evidence suggests that the quality of financial reporting has a moderating (weakening) effect on stock prices and stock mispricing.The results of this research emphasize the concern about the decrease in the quality of financial reporting and provide insight so that the drafters of regulations and researchers can identify the root causes of the decrease in the quality of financial reporting and, if necessary, revise the current regulations governing financial reporting. This is because the quality of financial reporting can counteract the adverse effect of stock price concurrency on stock mispricing.
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