This paper uses pre-crisis stock price synchronicity to explain the cross-sectional variation in within-crisis synchronicity. Using a large dataset from 19 emerging markets, we show that firms with high pre-crisis synchronicity are affected less by financial crisis than firms with low pre-crisis synchronicity. We document an inverse parabolic relationship between pre-crisis synchronicity and within-crisis synchronicity. Our results show that the relationship between pre-crisis synchronicity and within-crisis synchronicity is positive until a turning point is reached. After that value, pre-crisis synchronicity has a negative impact on within-crisis synchronicity. We argue that firms with high pre-crisis synchronicity are, generally, associated with superior governance mechanisms (Chan and Hameed, 2006; Dasgupta et al., 2010). Better governance mechanisms lead to lower exposure of these firms to financial crisis (Mitton, 2002). Our results are also robust across different sub-samples.
MS in Finance
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Committee Member 2
Library of Congress Subject Heading 1
Stocks -- Prices.
Library of Congress Subject Heading 2
Financial crises -- Management.
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(2015).Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
Heleka, Ashraf Abdelnasser. Stock price synchronicity and firm's exposure to financial crisis: evidence from emerging markets. 2015. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.