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dc.contributor.advisor Farooq, Omar
dc.contributor.author Hamouda, Moataz
dc.date.accessioned 2015-02-05T12:32:40Z
dc.date.available 2015-02-05T22:00:11Z
dc.date.created 2015 Winter en_US
dc.date.issued 2015-02-05
dc.identifier.uri http://dar.aucegypt.edu/handle/10526/4286
dc.description.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. en_US
dc.format.extent 23 p. en_US
dc.format.medium theses en_US
dc.language.iso en en_US
dc.rights Author retains all rights with regard to copyright. en
dc.subject Informational Role en_US
dc.subject Price Synchronicity, en_US
dc.subject Emerging Market en_US
dc.subject.lcsh Thesis (M.S.)--American University in Cairo en_US
dc.subject.lcsh Stocks -- Prices.
dc.subject.lcsh Pricing.
dc.title Informational Role of Stock Price Synchronicity: Evidence from an Emerging Market en_US
dc.type Text en_US
dc.subject.discipline Finance en_US
dc.rights.access This item is available en_US
dc.contributor.department American University in Cairo. Dept. of Management en_US
dc.description.irb American University in Cairo Institutional Review Board approval is not necessary for this item, since the research is not concerned with living human beings or bodily tissue samples. en_US
dc.contributor.committeeMember Ahmed, Neveen
dc.contributor.committeeMember El-Bannan, Mohamed


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  • Theses and Dissertations [1691]
    This collection includes theses and dissertations authored by American University in Cairo graduate students.

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