Stock Return Synchronicity and Profitability: Evidence from India

R. L. N. Murthy and Hardeep Singh Mundi

Paradigm, 2023, vol. 27, issue 1, 47-59

Abstract: The current research article studies the stock return synchronicity (SYNCH) and profitability for Indian firms. SYNCH is measured using the value of R 2 calculated from the market model for the sample firms. The market model runs regressions of individual stock returns with the Nifty index return. The quantile regression model is run to study the SYNCH and profit after tax (PAT). In addition, the SYNCH and its relation with PAT for low-quantile firms are compared to the SYNCH of high-quantile firms. After controlling for relevant variables, the quantile regression results provide evidence that SYNCH is related to PAT. The reported results also provide evidence that the lower quantile firms differ from higher quantile firms in terms of the impact of PAT on SYNCH.

Keywords: Emerging economy; market return model; profit after tax; quantile regression; stock return synchronicity (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:27:y:2023:i:1:p:47-59

DOI: 10.1177/09718907231173336

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