Validation and Development of Stock Return Synchronicity Measures and the Impact of the Country’ s Economic Situation on its Changes

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LOTFI MOHSEN; HAGHIGHAT HAMID; GHAEMI MOHAMMAD HOSSEIN

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Journal: JOURNAL OF ACCOUNTING KNOWLEDGE AND MANAGEMENT AUDITING Year:2018 | Volume:7 | Issue:25 Page(s): 81-98

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Title

Validation and Development of Stock Return Synchronicity Measures and the Impact of the Country’ s Economic Situation on its Changes

Author(s)

LOTFI MOHSEN | HAGHIGHAT HAMID | GHAEMI MOHAMMAD HOSSEIN | Issue Writer Certificate

Keywords

Stock return synchronicityQ1

Classical synchronicity measureQ1

R-square measureQ1

Zero-return measureQ1

and Macroeconomic factorsQ1

Abstract

This research was aimed at validating different models of Stock return synchronicity and creating a new measure based on the Classical synchronicity measure. The effect of the country's economic situation on stock return synchronization was also examined. For this purpose, 103 companies listed in the Tehran Stock Exchange during the years 2006 to 2015 were selected by systematic elimination method. This test showed that R-square based measures and the developed measure based on Classical synchronicity measure were in a coherent way. Unexpectedly Zero-return measure was in contrast to other criteria. Furthermore high correlation between the developed measure based on Classical synchronicity measure and other coherent measures shows the reliability the proposed measure. The results of ANOVA test showed that Tehran Stock Exchange has experienced different levels of synchronicity in different economic conditions. In other words, high inflation (low) and low economic growth (high), the stock exchange has experienced the highest (minimum) synchronization. Also, ordinary least square and quantile regression analysis showed that economic growth changes (variations) had the greatest effect on Stock return synchronicity changes, furthermore the effect of inflation rate and unemployment rate were not significant. On the other hand, comparison between this study and other international ones shows that Iran’ s capital market is among the small synchronization markets.

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APA: Copy

LOTFI, MOHSEN, HAGHIGHAT, HAMID, & GHAEMI, MOHAMMAD HOSSEIN. (2018). Validation and Development of Stock Return Synchronicity Measures and the Impact of the Country’ s Economic Situation on its Changes. JOURNAL OF ACCOUNTING KNOWLEDGE AND MANAGEMENT AUDITING, 7(25 ), 81-98. SID. https://sid.ir/paper/238070/en

Vancouver: Copy

LOTFI MOHSEN, HAGHIGHAT HAMID, GHAEMI MOHAMMAD HOSSEIN. Validation and Development of Stock Return Synchronicity Measures and the Impact of the Country’ s Economic Situation on its Changes. JOURNAL OF ACCOUNTING KNOWLEDGE AND MANAGEMENT AUDITING[Internet]. 2018;7(25 ):81-98. Available from: https://sid.ir/paper/238070/en

IEEE: Copy

MOHSEN LOTFI, HAMID HAGHIGHAT, and MOHAMMAD HOSSEIN GHAEMI, “Validation and Development of Stock Return Synchronicity Measures and the Impact of the Country’ s Economic Situation on its Changes,” JOURNAL OF ACCOUNTING KNOWLEDGE AND MANAGEMENT AUDITING, vol. 7, no. 25 , pp. 81–98, 2018, [Online]. Available: https://sid.ir/paper/238070/en

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