Asymmetric Synchronicity in Extreme Stock Price Movements: Evidence from China’s Stock Market
نویسندگان
چکیده
منابع مشابه
Institutional Development and Stock Price Synchronicity: Evidence from China
This paper investigates how and to what extent institutional development influences and permits firm-specific information to be incorporated into share prices, as measured by stock price synchronicity. Tracing the experience of China, an economy undergoing dramatic changes in the last 20 years with rich variation in experiences across provinces, this paper reveals that stock price synchronicity...
متن کاملWhat determines bank stock price synchronicity? Global evidence
This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided by banks; (3) in countries that do not have explicit depository insurance; and (4) in countries that h...
متن کاملUniversal Behavior of Extreme Price Movements in Stock Markets
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model--adding a slow, but significant, ...
متن کاملInvestigating the Effect of Business Strategy and Stock Price Synchronicity on Stock Price Crash Risk
Stock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the effect of business strategy and stock price synchronicity on stock price crash risk. Following Bentley et al.[2], composite strategy score has been used to ...
متن کاملCollective behavior of stock price movements in an emerging market.
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Procedia Computer Science
سال: 2017
ISSN: 1877-0509
DOI: 10.1016/j.procs.2017.11.486