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Stock Price Synchronicity and Information Environment

Ahmad Fraz () and Arshad Hassan ()
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Ahmad Fraz: Capital University of Science and Technology, Islamabad

Business & Economic Review, 2017, vol. 9, issue 4, 213-232

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.

Keywords: Stock price synchronicity; Idiosyncratic volatility; Karachi stock market; Liquidity (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/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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