Proceedings of the 2014 International Conference on Economic Management and Social Science

A Review of Stock Return Synchronicity

Authors
Pan Ningning, Zhu Hongquan
Corresponding Author
Pan Ningning
Available Online November 2014.
DOI
https://doi.org/10.2991/emss-14.2014.54How to use a DOI?
Keywords
stock return synchronicity, firm-specific information, noise
Abstract
Stock return synchronicity, or comovement, measures to what extent the individual stock returns would comove with market returns. In empirical analyses, stock return synchronicity is typically measured by the R-square derived from the market model. According to the market efficiency theory, an individual firm's stock price reflect market-level, industry-level, and firm-specific information. King (1966) shows that stock prices covary with market and industry returns, but Roll (1988) finds that the market and industry level information can only explain a small part of the individual stock returns’ movement in US market, with market model R2 around 20%~30%. Roll (1988) concludes that the residual movements could be explained either by private information or occasional frenzy unrelated to specific information. Following insights by Roll (1988), stock return synchronicity has become a hot topic of financial research. We review and summarize the existing literature from the following three aspects.
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Proceedings
2014 International Conference on Economic Management and Social Science (ICEMSS 2014)
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
November 2014
ISBN
978-94-62520-34-9
ISSN
2352-5398
DOI
https://doi.org/10.2991/emss-14.2014.54How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Pan Ningning
AU  - Zhu Hongquan
PY  - 2014/11
DA  - 2014/11
TI  - A Review of Stock Return Synchronicity
BT  - 2014 International Conference on Economic Management and Social Science (ICEMSS 2014)
PB  - Atlantis Press
SP  - 241
EP  - 245
SN  - 2352-5398
UR  - https://doi.org/10.2991/emss-14.2014.54
DO  - https://doi.org/10.2991/emss-14.2014.54
ID  - Ningning2014/11
ER  -