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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...
Persistent link: https://www.econbiz.de/10012981203
This paper demonstrates that measures of stock price synchronicity based on market model R2s are predictably biased downwards as a result of stock illiquidity, and that previously-employed remedies to correct market model betas for measurement bias do not fix R2. Using a large international...
Persistent link: https://www.econbiz.de/10012904986
A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...
Persistent link: https://www.econbiz.de/10013098346
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 during the financial crisis; in countries that have more credit provided by...
Persistent link: https://www.econbiz.de/10013104217
Stock prices move together more in poor economies than in rich economies. This finding is not due to market size and is only partially explained by higher fundamentals correlation in low-income economies. However, measures of property rights do explain this difference. The systematic component...
Persistent link: https://www.econbiz.de/10013080956
This paper examines the impact of national culture on herding behaviour across international financial markets. The relation between national culture and investor behaviour, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market...
Persistent link: https://www.econbiz.de/10013089721
This paper demonstrates that measures of stock price synchronicity based on market model R2s are predictably biased downwards as a result of stock illiquidity, and that previously‐employed remedies to correct market model betas for measurement bias do not fix R2. Using a large international...
Persistent link: https://www.econbiz.de/10012868393
This paper demonstrates that measures of stock price synchronicity based on market model R2s are predictably biased downwards as a result of stock illiquidity, and that previously-employed remedies to correct market model betas for measurement bias do not fix R2. Using a large international...
Persistent link: https://www.econbiz.de/10012870847
A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...
Persistent link: https://www.econbiz.de/10013096910
When is the best time to invest in the stock market? The paper analyzes the best and worst investment periods for each of the twelve months as well as 41 countries and 3 global regions. The paper provides an international perspective to Yale Hirsch's analysis of the United States' stock market....
Persistent link: https://www.econbiz.de/10013305884