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Journal articles on the topic 'Stock return synchronicity'

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Author: Grafiati

Published: 10 December 2022

Last updated: 28 January 2023

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1

Cho, Joong-Seok, Hyung Ju Park, and Ji-Hye Park. "Stock Return Synchronicity and Analysts’ Forecast Properties." Gadjah Mada International Journal of Business 18, no. 3 (December 2, 2016): 301. http://dx.doi.org/10.22146/gamaijb.16941.

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Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.

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2

Du, Chan, Liang Song, and Jia Wu. "Bank accounting disclosure, information content in stock prices, and stock crash risk." Pacific Accounting Review 28, no. 3 (August 1, 2016): 260–78. http://dx.doi.org/10.1108/par-09-2015-0037.

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Purpose This paper aims to examine how banks’ accounting disclosure policies affect information content in stock prices and stock crash risk. Design/methodology/approach This paper uses 1996-2013 as the sample period. The final sample includes 10,045 observations in 37 countries. This paper uses stock return synchronicity to measure information content in stock prices. This study uses the frequency difference between extremely negative and positive stock returns to measure stock crash risk. To measure the level of bank accounting disclosure, this research follows Nier and Baumann (2006) to construct an aggregate disclosure index based on inclusions and omissions of a series of items in a bank’s annual accounting reports. Findings This paper finds that banks’ stocks have lower stock return synchronicity and fewer extremely negative returns if banks have higher levels of financial statement disclosure. These results suggest that banks’ stocks have higher information content and lower crash risk if banks’ information environment is more transparent. Originality/value Overall, this paper provides new insight about how to increase banks’ transparency and the safety of the banking industry, which is beneficial to economic growth. To increase banks’ transparency and reduce the possibility of extremely negative stock returns, one way to regulate banks is to increase their accounting disclosure. In addition, the extant literature (Chen et al., 2006, Durnev et al., 2003, 2004; Wurgler, 2000) demonstrates that firms with lower stock return synchronicity have more transparent information environments and higher investment efficiency. Thus, this paper finds that higher levels of bank accounting disclosure are associated with lower stock return synchronicity, which further reduces banks’ opacity and increases banks’ investment efficiency. Finally, compared to business firms, stock crash risk has much direr consequences because one bank’s stock crash will affect overall financial stability. Thus, it is important for authorities to know the effects of accounting disclosure on bank stock crash risk.

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3

Ye, Kangtao, Jenny Xinjiao Guan, and Bo Zhang. "Strategic Deviation and Stock Return Synchronicity." Journal of Accounting, Auditing & Finance 36, no. 1 (October 11, 2018): 172–94. http://dx.doi.org/10.1177/0148558x18802551.

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We examine the effect of strategic deviation on the relative amount of firm-specific information incorporated into stock prices, measured by stock return synchronicity. Strategic deviation is conceptualized as the extent to which the pattern of a firm’s resource allocation deviates from that of its industry peers. We find that strategic deviation is negatively associated with stock return synchronicity. Using a path analysis, we document that firms following deviant strategy issue more frequent managerial forecasts and have a higher level of block ownership than nondeviant firms, and that both managerial forecasts and block ownership partially mediate the relationship between strategic deviation and stock return synchronicity. Our study contributes to accounting and finance literature by documenting the role of firms’ strategic positioning in the stock price-formation process.

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Bai, Xuelian, Nan Hu, Ling Liu, and Lu Zhu. "Credit derivatives and stock return synchronicity." Journal of Financial Stability 28 (February 2017): 79–90. http://dx.doi.org/10.1016/j.jfs.2016.12.006.

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5

Crawford, Steven S., Darren T. Roulstone, and Eric C. So. "Analyst Initiations of Coverage and Stock Return Synchronicity." Accounting Review 87, no. 5 (April 1, 2012): 1527–53. http://dx.doi.org/10.2308/accr-50186.

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ABSTRACT We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low-cost market and industry information allowing him/her to follow more stocks, whereas subsequent analysts provide firm-specific information to distinguish themselves from existing analysts. We use stock return synchronicity to measure the mix of information available about a firm, with higher synchronicity indicating more industry and market information. Coverage initiations of firms with no prior analyst coverage increase synchronicity, suggesting that analysts produce industry- and market-wide information. In contrast, analysts initiating coverage on firms with existing coverage appear to focus on producing firm-specific information as these initiations lead to reduced synchronicity. Together, our findings indicate that the type of information that analysts produce at initiation depends on the information provided by other analysts. Data Availability: All data are available from public sources identified in the paper.

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6

Butar Butar, Sansaloni. "Board of commisioners Composition, Governance Committee, and Stock Price Synchronicity." Jurnal Akuntansi dan Keuangan 21, no. 1 (May 23, 2019): 1–11. http://dx.doi.org/10.9744/jak.21.1.1-11.

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Market returns do not fully explain individual stock return changes, suggesting insynchronous movement between the two types of returns. The phenomena is widely called stock price synchronicity. Stock price synchronicity refers to the extent to which firm-specific information incorporated in stock prices. Prior studies suggest that price synchronicity is negatively associated with information quality. Firms with poor informational environment is likely to produce unreliable financial reports. Hence, it is a necessity for a firm to establish internal mechanisms, reflected in its corporate governance system, to promote conducive informational environment. One pillar of good corporate governance is the existence of effective Board of Commissioner. This study examines the association between Board of Commissioner composition and stock price synchronicity. Board of Commissioners composition includes Board independence, Board size, and gender diversity. In addition, this study also examine the role of Governance Committee in lowering stock price synchronicity. Regression analysis show that Board size and Board independence are negatively associated with stock price synchronicity. But no significant result were found for gender diversity. These findings suggest that larger Board size and more independent Board play significant role in improving the quality of financial reporting. And the presence of female commsioners do not affect financial reporting quality.

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7

Murhadi, Werner Ria, and Liliana Inggrit Wijaya. "CORPORATE GOVERNANCE, TRANSPARANCY AND STOCK RETURN SYNCHRONICITY." Journal of Entrepreneurship & Business 2, no. 1 (March 9, 2021): 1–10. http://dx.doi.org/10.24123/jeb.v2i1.3919.

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This study aims to analyze the effect of corporate governance on transparency as measured by stock return synchronicity. The variables used are board size (commissioner), big4 audit, institutional ownership, market to book, the volatility of firm fundamentals, leverage, and firm size. This study uses a quantitative approach with multiple linear analysis models. This study uses a sample of non-financial business entities listed on the Indonesia Stock Exchange (BEI). The number of samples used in this study was 198 observations. The results showed that the variable board size (commissioner), institutional ownership, and leverage had a positive effect on transparency, and the implied volatility of the firm hurt transparency. Other variables such as big4 audit, market to book ratio, and firm size do not affect transparency.

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8

Bai, Xuelian, Yi Dong, and Nan Hu. "Financial report readability and stock return synchronicity." Applied Economics 51, no. 4 (August 10, 2018): 346–63. http://dx.doi.org/10.1080/00036846.2018.1495824.

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9

Chue, Timothy K., Ferdinand A. Gul, and G. Mujtaba Mian. "Aggregate investor sentiment and stock return synchronicity." Journal of Banking & Finance 108 (November 2019): 105628. http://dx.doi.org/10.1016/j.jbankfin.2019.105628.

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10

Aghababaei, Mohammad Ebrahim, and Saeid Madani. "Investor sentiment and stock return synchronicity in Tehran Stock Exchange." Journal of Financial Management Perspective 11, no. 34 (August 23, 2021): 95–115. http://dx.doi.org/10.52547/jfmp.11.34.95.

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11

Dasgupta, Sudipto, Jie Gan, and Ning Gao. "Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence." Journal of Financial and Quantitative Analysis 45, no. 5 (August 20, 2010): 1189–220. http://dx.doi.org/10.1017/s0022109010000505.

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AbstractThis paper argues that, contrary to the conventional wisdom, stock return synchronicity (or R2) can increase when transparency improves. In a simple model, we show that, in more transparent environments, stock prices should be more informative about future events. Consequently, when the events actually happen in the future, there should be less “surprise” (i.e., less new information is impounded into the stock price). Thus a more informative stock price today means higher return synchronicity in the future. We find empirical support for our theoretical predictions in 3 settings: namely, firm age, seasoned equity offerings (SEOs), and listing of American Depositary Receipts (ADRs).

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12

Park, Hyung Ju, and Joong-Seok Cho. "Stock Return Synchronicity and Analysts' Target Price Forecasts." Korean Accounting Review 46, no. 5 (October 31, 2021): 199–234. http://dx.doi.org/10.24056/kar.2021.10.006.

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13

Douch, Mohamed, Omar Farooq, and Mohammed Bouaddi. "Stock price synchronicity and tails of return distribution." Journal of International Financial Markets, Institutions and Money 37 (July 2015): 1–11. http://dx.doi.org/10.1016/j.intfin.2015.04.003.

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14

Hou, Jianlei, Shangmei Zhao, and Haijun Yang. "Individual analysts, stock return synchronicity and information efficiency." International Review of Financial Analysis 71 (October 2020): 101513. http://dx.doi.org/10.1016/j.irfa.2020.101513.

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15

Piotroski, Joseph D., and Darren T. Roulstone. "The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices." Accounting Review 79, no. 4 (October 1, 2004): 1119–51. http://dx.doi.org/10.2308/accr.2004.79.4.1119.

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We investigate the extent to which the trading and trade-generating activities of three informed market participants—financial analysts, institutional investors, and insiders—influence the relative amount of firm-specific, industry-level, and market-level information impounded into stock prices, as measured by stock return synchronicity. We find that stock return synchronicity is positively associated with analyst forecasting activities, consistent with analysts increasing the amount of industry-level information in prices through intra-industry information transfers. In contrast, stock return synchronicity is inversely related to insider trades, consistent with these transactions conveying firm-specific information. Supplemental tests show that insider and institutional trading accelerate the incorporation of the firm-specific component of future earnings news into prices alone, while analyst forecasting activity accelerates both the industry and firm-specific component of future earnings news. Our results suggest that all three parties influence the firm's information environment, but the type of price-relevant information conveyed by their activities depends on each party's relative information advantage.

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16

Ntow-Gyamfi, Matthew, Godfred Alufar Bokpin, and Albert Gemegah. "Corporate governance and transparency: evidence from stock return synchronicity." Journal of Financial Economic Policy 7, no. 2 (May 5, 2015): 157–79. http://dx.doi.org/10.1108/jfep-10-2013-0055.

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Purpose – The purpose of the study is to examine the influence of corporate governance on the flow of firm-specific information in an emerging market. Design/methodology/approach – Synchronicity is estimated under assumptions of contemporaneous and non-contemporaneous relationship between individual stock returns and the market return. Possible thin-trading effect is also corrected using the Dimson’s Beta approach to estimate synchronicity. In the main empirical model, both the Panel-Corrected Standard Errors and the Generalized Least Square estimations were used to provided robust evidence of governance influencing transparency. Findings – Corporate governance was found to broadly influence the release of firm-specific information in a relatively opaque market through the information environment. However, no evidence in support of the “auditor-reputation effects” theory was found. As well, CEO duality does not create an individual powerful enough to reduce the monitoring role of boards. We further document the presence of noise trading on the Ghana Stock Exchange. Practical implications – This study suggests that specific corporate mechanism practices have implications for stock selection in a relatively high information asymmetry Capital Market. Investors require transparency; hence, firms with governance mechanisms that elicit such transparency are likely to attract investors. Originality/value – This study is the first to examine the relationship between governance and transparency while using stock return synchronicity as a proxy for transparency in an emerging Ghanaian Capital Market.

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17

Pan, Ningning, and Hongquan Zhu. "Block trading, information asymmetry, and the informativeness of trading." China Finance Review International 5, no. 3 (August 17, 2015): 215–35. http://dx.doi.org/10.1108/cfri-11-2014-0092.

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Purpose – The purpose of this paper is to investigate how block trading and asymmetric information contribute to the firm-specific information measured by the stock return synchronicity. Based on China stock market which is dominated by individual investors, this study focus on whether traders of block trading, which are usually institutional investors, are “information trader.” Design/methodology/approach – Based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Then the paper constructs a multiple regression model and examine how block trading and information asymmetry contribute to the firm-specific information measured by the stock return synchronicity. Findings – The results show that: on the one hand, block trading transmits more firm-specific information, and can reduce the synchronicity; on the other hand, when the degree of information asymmetry is higher, block trading contains more firm-specific information and has a stronger effect on synchronicity. The effect of information asymmetry specifically displays as: block trading during the first half-hour of the trading day has a stronger effect on synchronicity; and block trading occurred in the days with publicly announced trading information has greater impact on synchronicity. Practical implications – The conclusions have important practical implications: for market regulators, monitoring for block trading can improve the recognition and prevention of insider trading; for individual investors, especially the risk aversion investors, recognition of intraday and inter-day information asymmetry is beneficial for them to avoid the risk of asymmetric information. Originality/value – First, the domestic and foreign research mostly concentrated impact of block trading on stock prices. However, reasons of stock price changes include the information effect and non-information effect, this paper selects stock return synchronicity as firm-specific information measure, and mainly focus on the information effect of block trading. Second, based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Compared with general measure of information asymmetry, such as firm size, earnings quality, the two measures based on high frequency data are more precisely.

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18

Mardianto, Mardianto, and Juniyanti Juniyanti. "Analisis Pengaruh Kepemilikan Institusional, Koneksi Politik, Ukuran Perusahaan, ROE, dan Leverage terhadap Sinkronisitas Harga Saham." Global Financial Accounting Journal 4, no. 2 (October 31, 2020): 75. http://dx.doi.org/10.37253/gfa.v4i2.1228.

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This scientific work is written to examine the effect of the independent variable towards the synchronicity of stock prices variable. The independent variables referred to in the scientific work are political connections, institutional ownership, ROE, company size, leverage, skewness and kurtosis. Author will elaborate the results of the variables in this research. The LQ45 company which is well known for its financial condition, growth prospects, and high transaction value has been chosen as sample used for this study. The sampling period ranged from 2014 to 2018, which is 5 (five) years. The financial statements and annual reports of the LQ45 company are downloaded through the site https://www.idx.co.id/. Whereas the company's information regarding weekly return needed for data processing of share price synchronicity is obtained through the website https://finance.yahoo.com/. The research data obtained are then processed using Eviews application version 10 and SPSS version 22. Results indicate that the institutional ownership variable has significant negative effect on the synchronicity of stock price. While compant size and kurtosis variables has significant positive effect on the synchronicity of stock prices. Other variables, namely political connections, Return On Equity (ROE), leverage and skewness do not have a significant relationship to the variable synchrony of stock prices.

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19

Watanabe, Olena V., Michael J. Imhof, and Semih Tartaroglu. "Transparency Regulation and Stock Price Informativeness: Evidence from the European Union's Transparency Directive." Journal of International Accounting Research 18, no. 2 (February 1, 2019): 89–113. http://dx.doi.org/10.2308/jiar-52383.

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ABSTRACT We examine changes in stock price informativeness following the European Union's Transparency Directive (TPD). The TPD, implemented by country between 2007 and 2009, enhanced corporate transparency through mandating regular firm financial disclosures and facilitating the dissemination of financial reports. Using stock return synchronicity as a proxy for stock price informativeness, we find that price informativeness improved following implementation of the TPD. This improvement was more pronounced in countries with strong regulatory environments than those with weak regulatory environments. We additionally examine a later amendment to the TPD that eliminated the requirement of quarterly financial disclosures and document an increase in stock return synchronicity following the amendment. Our findings support prior research suggesting that transparency regulations improve financial information. JEL Classifications: F30; G15; G30; M4. Data Availability: Data are available from the sources cited in the text.

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20

Zhao, Ran, and Lu Zhu. "The externalities of credit default swaps on stock return synchronicity." Journal of Futures Markets 40, no. 1 (August 14, 2019): 92–125. http://dx.doi.org/10.1002/fut.22045.

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21

Kelly, Patrick J. "Information Efficiency and Firm-Specific Return Variation." Quarterly Journal of Finance 04, no. 04 (December 2014): 1450018. http://dx.doi.org/10.1142/s2010139214500189.

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Reasoning that private firm-specific information causes firm-specific return variation that drives down market-model R2s, [Morck et al., 2000, The Information Content of Stock Markets: Why do Emerging Markets have Synchronous Stock Price Movements? Journal of Financial Economics, 58, 215–260] begin a large body of research which interprets R2 as an inverse measure of price informativeness. Low-R2s or "synchronicity," as it is called in this literature, signal that prices more efficiently incorporate private firm-specific information, and high R2s indicate less. For this to be true, we would expect that low-R2 stocks have characteristics that facilitate private informed trade, i.e., lower information costs and fewer impediments to arbitrage. However, in this paper we document the opposite: Low-R2 stocks are small, young, and followed by few analysts, and have high bid-ask spreads, high price impact, greater short-sale constraints and are infrequently traded. In fact, microstructure measures suggest that private-information events are less likely for low-R2 stocks than high, and that differences in R2 are driven as much by firm-specific volatility on days without private news as by firm-specific volatility on days with private news. These results call into question prior research using R2 to measure the information content of stock prices.

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22

Rao, Lanlan, and Liyun Zhou. "The role of stock price synchronicity on the return-sentiment relation." North American Journal of Economics and Finance 47 (January 2019): 119–31. http://dx.doi.org/10.1016/j.najef.2018.12.008.

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23

Cheung, William Mingyan, and Li Jiang. "Does free cash flow problem contribute to excess stock return synchronicity?" Review of Quantitative Finance and Accounting 46, no. 1 (July 4, 2014): 123–40. http://dx.doi.org/10.1007/s11156-014-0464-2.

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24

Devos, Erik, Wei Hao, Andrew K. Prevost, and Udomsak Wongchoti. "Stock return synchronicity and the market response to analyst recommendation revisions." Journal of Banking & Finance 58 (September 2015): 376–89. http://dx.doi.org/10.1016/j.jbankfin.2015.04.021.

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25

Dong, Yi, Oliver Zhen Li, Yupeng Lin, and Chenkai Ni. "Does Information-Processing Cost Affect Firm-Specific Information Acquisition? Evidence from XBRL Adoption." Journal of Financial and Quantitative Analysis 51, no. 2 (April 2016): 435–62. http://dx.doi.org/10.1017/s0022109016000235.

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AbstractWe examine how information-processing cost affects investors’ acquisition of firm-specific information using a natural experiment resulting from a recent mandate requiring U.S. firms to adopt eXtensible Business Reporting Language (XBRL) when submitting filings to the U.S. Securities and Exchange Commission (SEC). XBRL filings make financial data standardized, tagged, and machine readable. We find that XBRL adoption reduces firms’ stock return synchronicity. The reduction in synchronicity mainly applies to filings under the mandatory program as opposed to the voluntary program. Furthermore, such an effect is more pronounced for opaque and complex firms. Finally, we find that XBRL adoption also reduces price delay.

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Chung, Hyeonseok, and Minsup Song. "IFRS Adoption and the Change in Return Synchronicity : Evidence in Korean Stock Market." Korean Accounting Journal 28, no. 2 (April 30, 2019): 29–63. http://dx.doi.org/10.24056/kaj.2019.03.001.

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27

Bai, Xuelian, Fangjun Wang, and Junrui Zhang. "Analyst coverage and stock return synchronicity: evidence from regulation changes in China’s IPO market." Applied Economics 48, no. 47 (March 22, 2016): 4538–57. http://dx.doi.org/10.1080/00036846.2016.1161716.

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28

Chan, Kalok, and Yue-Cheong Chan. "Price informativeness and stock return synchronicity: Evidence from the pricing of seasoned equity offerings." Journal of Financial Economics 114, no. 1 (October 2014): 36–53. http://dx.doi.org/10.1016/j.jfineco.2014.07.002.

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29

Kan, Shuo, and Stephen Gong. "Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment." International Review of Finance 18, no. 4 (October 12, 2017): 523–46. http://dx.doi.org/10.1111/irfi.12157.

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30

Peterson, Kyle, Roy Schmardebeck, and T. Jeffrey Wilks. "The Earnings Quality and Information Processing Effects of Accounting Consistency." Accounting Review 90, no. 6 (February 1, 2015): 2483–514. http://dx.doi.org/10.2308/accr-51048.

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ABSTRACT We specify measures of accounting consistency both across time and across firms based on the textual similarity of accounting policy footnotes disclosed in 10-K filings. We first examine how these measures relate to earnings quality. Accounting consistency over time is positively associated with a number of earnings quality proxies, including earnings persistence, predictability, accrual quality, and absolute discretionary accruals. We also find that lower consistency relative to other firms in the industry is associated with larger absolute accrual model residuals. Finally, we examine the information processing effects of accounting consistency. We find that greater accounting consistency in the time-series and the cross-section is associated with lower information asymmetry, as proxied by bid-ask spread and illiquidity. Greater cross-sectional consistency is also associated with greater analyst coverage, more accurate analyst forecasts, decreased dispersion in analyst forecasts, and stronger stock return synchronicity. Data Availability: The accounting consistency measures developed in this study are available upon request. All other data are available from the sources cited in the text. JEL Classifications: M41.

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Bedier, Reem Essam, and Mohamed H. H. Abdel-Azim. "Information Processing Effects of Accounting Consistency: Evidence from Egypt." Journal of Research in Emerging Markets 1, no. 2 (April 9, 2019): 1–15. http://dx.doi.org/10.30585/jrems.v1i2.322.

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Using path analysis, this study investigates the direct and indirect effect of accounting consistency and accounting-based earnings quality proxy on market synchronicity of the Egyptian listed firms. We firstly examine how time-series accounting consistency achieves earnings quality. We find a significant association between time series accounting consistency and lower variation of accruals residuals. We also examine the direct impact of accruals quality on stock returns synchronicity. We find a significant association between lower variation of accruals residuals and higher stock returns synchronicity. Finally we examine the direct and indirect impact of accounting consistency on market synchronicity. We find that the consistent use of accounting policies can achieve market synchronicity only after achieving earnings quality. Our findings indicate that earnings quality increases the effect of time series accounting consistency on achieving stock returns synchronicity.

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32

Farooq, Omar, and Khondker Aktaruzzaman. "Does stock price synchronicity effect information content of reported earnings? Evidence from the MENA region." Risk Governance and Control: Financial Markets and Institutions 6, no. 3 (2016): 43–49. http://dx.doi.org/10.22495/rcgv6i3c1art5.

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This paper documents the effect of stock price synchronicity on the value relevance of reported earnings in the MENA region during the period between 2009 and 2013. Our results show that the information content of reported earnings increases with increase in stock price synchronicity. We document higher impact of earnings on returns for firms with higher stock price synchronicity. We argue that firms with high synchronicity have better information environment. As a result, these firms disclose information that is of high quality. We also show that information conveyed through stock price synchronicity is more important than information conveyed through traditional governance mechanisms.

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33

John Camilleri, Silvio, and Christopher J. Green. "Stock market predictability." Studies in Economics and Finance 31, no. 4 (September 30, 2014): 354–70. http://dx.doi.org/10.1108/sef-06-2012-0070.

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Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach – The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices using Pesaran–Timmermann tests and Granger-Causality. Then, a simple test on overnight returns is proposed to infer whether the observed predictability is mainly attributable to non-synchronous trading or some form of inefficiency. Findings – The evidence suggests that non-synchronous trading is a better explanation for the observed predictability in the Indian Stock Market. Research limitations/implications – The indication that non-synchronous trading effects become more pronounced in high-frequency data suggests that prior studies using daily data may underestimate the impacts of non-synchronicity. Originality/value – The originality of the paper rests on various important contributions: overnight returns is looked at to infer whether predictability is more attributable to non-synchronous trading or to some form of inefficiency; the impacts of non-synchronicity are investigated in terms of lead-lag effects rather than serial correlation; and high-frequency data is used which gauges the impacts of non-synchronicity during less active parts of the trading day.

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34

Ye, Pengfei. "The Value of Active Investing: Can Active Institutional Investors Remove Excess Comovement of Stock Returns?" Journal of Financial and Quantitative Analysis 47, no. 3 (January 30, 2012): 667–88. http://dx.doi.org/10.1017/s0022109012000099.

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AbstractThis study uses Cremers and Petajisto’s (2009) method to separate active institutional investors from passive ones and shows that active investors can alleviate the anomalous comovement of stock returns. Focusing on 2 events linked to the excess comovement anomaly, Standard & Poor’s 500 Index additions and stock splits, I find that if an event stock has more active institutional investors trading in the post-event period, the anomalous comovement effect disappears. In contrast, if an event stock experiences a massive exit of active investors, this anomaly persists. The exit of active institutional investors also results in a strong price synchronicity effect.

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Augustin, Patrick, Feng Jiao, Sergei Sarkissian, and Michael J. Schill. "Cross-Listings and the Dynamics between Credit and Equity Returns." Review of Financial Studies 33, no. 1 (May 17, 2019): 112–54. http://dx.doi.org/10.1093/rfs/hhz052.

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Abstract We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions. Received April 20, 2017; editorial decision February 12, 2019 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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Polat, Dr Alp. "Banking Sector Stock Price Synchronicity and Relationships between Returns of Stock Market Index in Turkey: Borsa Istanbul Evidence." International Journal of Economics and Management Studies 5, no. 12 (December 25, 2018): 38–42. http://dx.doi.org/10.14445/23939125/ijems-v5i12p107.

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Kyiu, Anthony, Edward Jones, and Hao Li. "Stock return synchronicity in a weak information environment: evidence from African markets." International Journal of Managerial Finance, April 12, 2022. http://dx.doi.org/10.1108/ijmf-08-2021-0378.

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PurposeThis study investigates the level of stock return synchronicity in African markets with the aim of establishing whether, contrary to conventional wisdom, stock return synchronicity can be low in countries with relatively weak information environments.Design/methodology/approachThe authors use a sample of five African countries (Botswana, Ghana, Kenya, Nigeria and South Africa) and a total of 616 firms over the period 2005–2015. This study's main measure of synchronicity is the R2 from a regression of stock returns on index returns. The authors also carry out regression analysis to investigate the main firm-level drivers of synchronicity.FindingsOn average, firms in African markets do not exhibit high levels of stock return synchronicity, providing support for the view that stock return synchronicity can be low in markets with relatively weak transparency. The authors, however, observe an increase in the level of synchronicity during the global financial crisis, notably for Ghana and Kenya. In the regression analysis, the main firm-level driver of synchronicity is firm size, while contrary to some previous studies, ownership structure has no impact. The authors also find evidence of the impact of changes in accounting regulation, notably the mandatory adoption of IFRS, on the level stock synchronicity.Originality/valueThis study contributes to the understanding of stock return synchronicity and how price discovery can vary between different information environments. The authors argue that stock returns in African countries may not always fit the stereotypical view that they are synchronous. The level of synchronicity among firms suggests that corporate events may carry some stock price implications.

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Bai, Xuelian, Nan Hu, Ling Liu, and Lu Zhu. "Credit Derivatives and Stock Return Synchronicity." SSRN Electronic Journal, 2015. http://dx.doi.org/10.2139/ssrn.2654062.

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Lei, Zhen, and Haitian Lu. "Foreign Investment and Stock Price Informativeness: Evidence From the Shanghai (Shenzhen)–Hong Kong Stock Connect." Journal of Accounting, Auditing & Finance, October 17, 2021, 0148558X2110429. http://dx.doi.org/10.1177/0148558x211042953.

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This article investigates the impact of heterogeneous foreign investment on home market stock price informativeness. Evidence from China’s nascent A-share market shows non-segmented foreign investment reduces firms’ stock return synchronicity, while segmented foreign investment does not. Using the Shanghai (Shenzhen)–Hong Kong Stock Connect program as a natural experiment that exogenously increases non-segmented foreign ownership, we find that synchronicity drops significantly for program stocks relative to the control stocks. Our results are most consistent with an “informed trading” explanation, rather than a “learning” or “governance” explanation. These results have policy implications for stock market liberalization programs.

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Kee, Koon Boon, and Qihui Chen. "Stock Return Synchronicity and Technical Trading Rules." SSRN Electronic Journal, 2010. http://dx.doi.org/10.2139/ssrn.1645962.

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Li, Xiao, and Yao Xing. "When stock return synchronicity meets investor sentiment." Finance Research Letters, January 2023, 103655. http://dx.doi.org/10.1016/j.frl.2023.103655.

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Gul, Ferdinand A., and G. Mujtaba Mian. "Investor Sentiment, Arbitrage Constraints and Stock Return Synchronicity." SSRN Electronic Journal, 2010. http://dx.doi.org/10.2139/ssrn.1572256.

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Wei, Steven. "Information Environment, Systematic Volatility and Stock Return Synchronicity." SSRN Electronic Journal, 2019. http://dx.doi.org/10.2139/ssrn.3483619.

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Kan, Shuo. "Price Informativeness and Stock Return Synchronicity: A Controlled Experiment." SSRN Electronic Journal, 2016. http://dx.doi.org/10.2139/ssrn.2819296.

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Li, Yihan, Xin Liu, and Vesa Pursiainen. "Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II." Financial Analysts Journal, August 17, 2022, 1–21. http://dx.doi.org/10.1080/0015198x.2022.2096990.

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Li, Yihan, Xin Liu, and Vesa Pursiainen. "Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II." SSRN Electronic Journal, 2020. http://dx.doi.org/10.2139/ssrn.3667923.

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Dong, Yi, Oliver Zhen Li, Yupeng Lin, and Chenkai Ni. "Information Processing Cost and Stock Return Synchronicity - Evidence from XBRL Adoption." SSRN Electronic Journal, 2013. http://dx.doi.org/10.2139/ssrn.2198135.

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Imhof, Michael J., Semih Tartaroglu, and Olena Victoria Watanabe. "Price Informativeness, Transparency Regulation, and Stock Return Synchronicity: Evidence from the European Union's Transparency Directive." SSRN Electronic Journal, 2017. http://dx.doi.org/10.2139/ssrn.3020381.

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Cheong, Chee S., Arvid O. I. Hoffmann, and Ralf Zurbruegg. "Tarred with the Same Brush? Advertising Share of Voice and Stock Price Synchronicity." Journal of Marketing, June 8, 2021, 002224292110010. http://dx.doi.org/10.1177/00222429211001052.

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Using the informative view of advertising as their theoretical lens, the authors propose that advertising provides information to investors in financial markets, analogous to its role for customers in product markets. The authors extend previous marketing–finance research, which has focused on how advertising affects firms’ risk and returns, and investigate a novel outcome variable, stock price synchronicity. Consistent with their proposed theory, the authors find that firms that advertise more relative to competitors have lower stock price synchronicity, implying that these firms’ stock price movements are driven more by information that is specific to the firm rather than general industry- and market-wide trends. The effect of advertising investments on stock price synchronicity is moderated by the information demand versus supply about firms in financial markets given firms’ product characteristics and ownership structure, and the likelihood of spillover effects between product and financial markets given firms’ marketing strategies. The authors illustrate the relevance of their findings for marketing managers through an event study in which they demonstrate that firms with high stock price synchronicity are “tarred with the same brush” and experience negative abnormal returns when competitors have a product recall, whereas firms with low stock price synchronicity are not affected.

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Kapalczynski, Anna. "Seasonal effects on stock markets." Business and Management Review 13, no. 03 (December 10, 2022). http://dx.doi.org/10.24052/bmr/v13nu03/art-10.

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We revisit factors associated with seasonality of stock markets. We find that interest rates and their seasonal components exhibit a strong relationship with returns and that association is more pronounced in countries, where interest rate seasonality is generally small. Additionally, using difference-in-difference estimation, we add to the growing evidence of increased synchronicity among countries belonging to the European Monetary Union. While we find strong evidence for stock market relationship with economic factors, our sample exhibits little indication that changing risk preferences throughout the year affect seasonality in stock returns.

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