Abstract

The informational role of price synchronicity, the degree of co-movement a stock has with the entire market, has been the subject of investigation in this research. More precisely, the lead-lag relationship between stocks which exhibit high price synchronicity (high R2) and low price synchronicity (low R2) was studied using a VAR model. In testing the hypothesis that high R2 stocks lead the low R2 stocks, all the listed stocks in Bombay Stock Exchange (BSE) from January 1999 to December 2012 were examined and portfolios of equally weighted and value weighted High R2 (HS) and Low R2 (LS) were formed. It was found that both the equally weighted and value weighted high R2 stocks lead the low R2 stocks and not vice versa. Additionally, it was found that the high R2 stocks lead the returns of the entire market.

Department

Management Department

Degree Name

MS in Finance

Graduation Date

2-1-2015

Submission Date

May 2015

First Advisor

Farooq, Omar

Committee Member 1

Ahmed, Neveen

Committee Member 2

El-Bann, Mohamed

Extent

23 p.

Document Type

Master's Thesis

Rights

The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy.

Institutional Review Board (IRB) Approval

Not necessary for this item

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