Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior

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ZARE BAHNAMIRI MOHAMMAD JAVAD; Kashiri Ladan

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

Journal Paper

Paper Information

Journal: JOURNAL OF SECURITIES EXCHANGE Year:2019 | Volume:12 | Issue:45 Page(s): 25-45

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Information Journal Paper

Title

Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior

Author(s)

ZARE BAHNAMIRI MOHAMMAD JAVAD | Kashiri Ladan | Issue Writer Certificate

Keywords

herding behaviorQ1

Stock price synchronicityQ1

stock price crash riskQ1

Abstract

In recent decades phenomena based on inefficiency have been observed in various international stock exchange markets. The phenomena such as extreme fluctuations in prices, price bubbles, falling price, calendar effects, differences in the return on stocks of small and large companies, and the difference in return on equity and growth, all reflect market inefficiencies and the absence of a balance between price and fundamental variables. It is anticipated that the synchronization of stock prices and the risk of falling stock prices would have an effect as well as herding behavior as a mediator on the relationship of this variable. The sample companies in this study belong to the companies accepted in the Tehran Stock Exchange in the period from 2012 to 2016. In this study Chen et al. (2001) and Kim et al. (2011) models for stock price crash risk and Piotroski and Roulstone (2004) models for measuring the Stock price synchronicity and Lakonishok model (1992) to measure herding behavior. The findings show that there is no significant relationship between Stock price synchronicity and the stock price crash risk, the result of the second hypothesis of the research is based on the mediating role of herding behavior in the relationship between Stock price synchronicity and stock price crash risk.

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APA: Copy

ZARE BAHNAMIRI, MOHAMMAD JAVAD, & Kashiri, Ladan. (2019). Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior. JOURNAL OF SECURITIES EXCHANGE, 12(45 ), 25-45. SID. https://sid.ir/paper/403395/en

Vancouver: Copy

ZARE BAHNAMIRI MOHAMMAD JAVAD, Kashiri Ladan. Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior. JOURNAL OF SECURITIES EXCHANGE[Internet]. 2019;12(45 ):25-45. Available from: https://sid.ir/paper/403395/en

IEEE: Copy

MOHAMMAD JAVAD ZARE BAHNAMIRI, and Ladan Kashiri, “Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior,” JOURNAL OF SECURITIES EXCHANGE, vol. 12, no. 45 , pp. 25–45, 2019, [Online]. Available: https://sid.ir/paper/403395/en

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