The Relationship between Stock Price Synchronicity and Stock Crash Risk in Tehran Stock Exchange

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ALINEZHAD SAROKOLAEI MEHDI; Taheri Abed Reza

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 1-11

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Title

The Relationship between Stock Price Synchronicity and Stock Crash Risk in Tehran Stock Exchange

Author(s)

ALINEZHAD SAROKOLAEI MEHDI | Taheri Abed Reza | Issue Writer Certificate

Keywords

Lack of Information TransparencyQ2

Stock Crash RiskQ1

Stock Price SynchronicityQ2

Tehran Stock ExchangeQ2

Abstract

The managers tend to hoarding and accumulation of bad news for extended periods. The hoarding and accumulation of bad news for extended periods lead to stock price crashes when the accumulated hidden bad news crosses a tipping point, and thus comes out all at once. Theoretical literature shows that the main root of Stock Price Synchronicity and Stock Crash Risk is the lack of transparency of financial information. In this study, the relationship between Stock Price Synchronicity and Stock Crash Risk was investigated. Due to Limitations of the study, 63 listed firms of Tehran Stock Exchange, during the period 2009 to 2014 was studied. To do so, down-to-top volatility model was applied to measure Stock Crash Risk and Also, For data review and test of the hypothesises from panel data was used. The results showed that between Stock Price Synchronicity and Stock Crash Risk there was no a significant positive relationship.

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APA: Copy

ALINEZHAD SAROKOLAEI, MEHDI, & Taheri Abed, Reza. (2019). The Relationship between Stock Price Synchronicity and Stock Crash Risk in Tehran Stock Exchange. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 1-11. SID. https://sid.ir/paper/200347/en

Vancouver: Copy

ALINEZHAD SAROKOLAEI MEHDI, Taheri Abed Reza. The Relationship between Stock Price Synchronicity and Stock Crash Risk in Tehran Stock Exchange. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):1-11. Available from: https://sid.ir/paper/200347/en

IEEE: Copy

MEHDI ALINEZHAD SAROKOLAEI, and Reza Taheri Abed, “The Relationship between Stock Price Synchronicity and Stock Crash Risk in Tehran Stock Exchange,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 1–11, 2019, [Online]. Available: https://sid.ir/paper/200347/en

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