Stock Price Synchronicity and Information Environment

Fraz, Ahmad; Hassan, Arshad

doi:10.22547/ber/9.4.10

Cited by 4 publications

(3 citation statements)

References 40 publications

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“…The average value of the firm's market model explains the 13% variation in the firm's PSX stock returns. This low average R squared indicates that the predictability power of the market model is low and that it is possible that the companyspecific variables can contribute more (or increase) in idiosyncratic returns (Fraz and Hassan, 2017).…”

Section: Descriptive Statisticmentioning

confidence: 99%

Does Peer Matters? How Peer Influence Firm Payout Policies: Evidence from Pakistan

Saleem,

Asif,

Usman

et al. 2024

IEF

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Payout decisions are receiving more interest from an investor’s point of view. The purpose of this study is to investigate the effect of peer payout policies on a firm payout policy in Pakistan. This study employs an instrumental variable technique to overcome the endogeneity issue, which is based on peers' idiosyncratic equity shocks. The peers' payout policies have a causal link with a firm payout policy. The effect of peer pressure on firm payout is more evident in companies that compete in a more competitive market and have a good information environment. The firms that are similar in size or resource, especially young and small firms, are more responsive to their industry peers. This study provides channels for managers or policymakers to become more optimistic about formulating the payout policy to attract investors' attention and to compete more fiercely in the market.

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Section: Descriptive Statisticmentioning

confidence: 99%

Does Peer Matters? How Peer Influence Firm Payout Policies: Evidence from Pakistan

Saleem,

Asif,

Usman

et al. 2024

IEF

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“…The study revealed that there is a link between the price of a share and a firm's size. Fraz and Hassan (2017) in their study concluded that pricing fluctuations in large corporations have an impact on market synchronicity. Asif et al (2016) found that stock prices have a substantial correlation with the macro-economic variables.…”

Section: Financial Information and Share Price Movements In Secondary...mentioning

confidence: 99%

Pre-IPO Financial Performance and Offer Price Estimation: Evidence from India

Yadav

Prosad

Singh

2023

JRFM

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The primary focus of this paper is to develop an empirical model to study the relationship between key Financial Performance Indicators and IPO Offer Prices. It seeks to assist Indian IPO investors to make more informed decisions by advancing their knowledge about relevant Pre-IPO Financial Performance Indicators that are effective predictors of Offer Price. The purpose is this study is to provide all the stakeholders with an approach to evaluate the Offer Price of IPOs. This will help the stakeholders to overcome pricing anomalies. The companies listed in the National Stock Exchange of India between the financial years 2015–2016 to 2020–2021 are taken as the sample of the study. The secondary data are analyzed by constructing a multiple linear regression model. This study uses a range of fundamental factors related to financial performance in a single framework to demonstrate that an IPO Offer Price can be assessed by its Pre-IPO Financial Performance. The findings of this study validate the objectives of the model constructed. This research shows that the Pre-IPO Financial Performance has an influential role in explaining the IPO offering price. The results of the study show that variables such as Net Asset Value (NAV), Return on Assets (ROA), Profit after Tax (PAT), and Return on Net Worth (RONW) have a substantial impact on IPO Offering Price. The findings of the research will assist IPO issuers in pricing their offerings better and more competitively. Furthermore, this study will also minimize the gap between offering and listing prices to prevent speculative failure. The study will help investors with minimal resources to evaluate the value of any IPO issue. An IPO’s value can be fairly estimated, and investors can decide whether the issue is worth investing in or not.

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“…Multifactor model using R 2 , the proxy of SPS is used as EMI and it is measured by using the capital asset pricing model. To estimate, EMI with other trading partners the degree of association is calculated by using the return of stock index of trading partner and MSCI global index with the return of Pakistan's stock index (An & Zhang, 2013;Vithessonthi & Kumarasinghe, 2016;Fraz & Hassan, 2017;Farooq, Ahmed, & Bouaddi, 2018).The study uses monthly market returns of Pakistan's equity market and MSCI global index with the returns of trading partners' equity market for36 months to estimate R 2 for each year from 1998 to 2016. The following model is used to estimate R 2 .…”

Section: Dependent Variablementioning

confidence: 99%

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

Fraz

Hassan

Chughtai

2020

JAEBS

Self Cite

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The study investigates the impact of bilateral trade, economic fundamentals and financial crisis on the equity market integration (EMI) of Pakistan’s equity market with its major global trading partners (China, India, USA and UK) for the period 1998 to 2016. The findings of the study indicate that bilateral trade and economic conditions have a significant impact on EMI, the export dependence of two economies may increase the EMI and import dependence reduces the EMI of two economies. Moreover, inflation differential and volatility in the bilateral exchange rate have a negative impact on EMI. It implies that inflation rates in Pakistan’s equity market are higher as compare to other markets and volatility in bilateral exchange rate may reduce trade flows and its tendency to follow other market (Bracker, Docking , & Koch, 1999). Furthermore, the financial crisis in an economy may reduce the EMI with its trading partners and EMI between different markets is affected by their bilateral economic fundamentals. The results imply that financial integration between different markets is affected by their bilateral economic fundamentals. The study has strong implications for international investors who need to assess risks and benefits associated with international portfolio diversification.

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Stock Price Synchronicity and Information Environment

Abstract: Abstract

Cited by 4 publications

References 40 publications

Does Peer Matters? How Peer Influence Firm Payout Policies: Evidence from Pakistan

Does Peer Matters? How Peer Influence Firm Payout Policies: Evidence from Pakistan

Pre-IPO Financial Performance and Offer Price Estimation: Evidence from India

Does Economic Integration Affect the Co-movement between Financial Markets? Evidence from Pakistani equity market with its global partners

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