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.


Management Department

Degree Name

MS in Finance

Graduation Date


Submission Date

May 2015

First Advisor

Farooq, Omar

Committee Member 1

Mertzanis, Charilaos

Committee Member 2

Ahmed, Neveen


33 p.

Document Type

Master's Thesis

Library of Congress Subject Heading 1

Stocks -- Prices.

Library of Congress Subject Heading 2

Financial crises -- Management.


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Institutional Review Board (IRB) Approval

Not necessary for this item


I would like to thank the entire Department of Finance for their continued support in my personal and academic growth. I am grateful to have met so many caring and knowledge professors. My initial introduction to finance was in Dr. Islam Azzam’s 540 course in 2011; I am fortunate to have had an amazing introduction to the world of finance. To Dr. Aliaa Bassiouny for helping me improve my financial modeling skills: a skill that was vital to me landing my recent job. To Dr. Iskandaar Tooma for easing my introduction to derivatives and for linking corporate and academic finance. To Mr. Hassan Abdalla for believing in me when others wouldn’t and teaching me about finance in an office environment. Finally, I would like to thank Dr. Omar Farooq; without him this paper would not have be possible. He helped me develop critical reasoning skills in the classroom and research abilities while working on the thesis. I have greatly enjoyed my time at AUC and will never forget my professors and colleagues that have impacted me professionally and personally. I am grateful for the financial and emotional support of my family. My progress in the MSc and this thesis is strongly correlated to their support.