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Stock price prediction based on stock price synchronicity and deep learning
International Journal of Financial Engineering, 2021Deep learning technology has been widely used in the financial industry, primarily for improving financial time series prediction based on stock prices. To solve the problem of low fitting and poor accuracy in traditional stock price prediction models, this paper proposes a stock price prediction model based on stock price synchronicity and deep ...
Nan Jing, Qi Liu, Hefei Wang
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Retail Investors and Stock Price Synchronicity
Review of Pacific Basin Financial Markets and Policies, 2022In this study, we use the number of retail investors in China’s stock market to investigate how retail investors affect stock price synchronicity. We find that a higher number of retail investors in a firm is associated with higher stock price synchronicity. Moreover, we trace this association to two sources.
Wu, Wenfeng, Rui, Oliver M.
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Stock Price Synchronicity and Liquidity
SSRN Electronic Journal, 2008Abstract We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity.
Chan, K., Hameed, A., Kang, W.
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Stock price synchronicity and stock price crash risk
China Finance Review International, 2016Purpose– The purpose of this paper is to empirically analyze the effects of stock price synchronicity and herding behavior of qualified foreign institutional investors (QFII) on stock price crash risk, especially the mediating effect of herding behavior of QFII on the relation of stock price synchronicity and stock price crash risk.Design/methodology ...
Yonghong Jin +3 more
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Large controlling shareholders and stock price synchronicity
Journal of Banking & Finance, 2014This paper examines the effect of controlling shareholders on stock price synchronicity by focusing on two salient corporate governance features in a concentrated ownership setting, namely, ultimate cash flow rights and the separation of voting and cash flow rights (i.e., excess control).
Boubaker, Sabri +2 more
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Media coverage and stock price synchronicity
International Review of Financial Analysis, 2020Abstract This paper investigates the relation between the extent of media coverage and stock price synchronicity and whether this relation varies across different institutional infrastructures. We document three notable findings. First, media coverage is negatively associated with stock price synchronicity, suggesting that the media facilitates the ...
Dang, Tung Lam +4 more
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Stock Price Synchronicity and Limited Arbitrage
2011 International Conference on Management and Service Science, 2011A new view of limited arbitrage is applied in the study of the reasons of stock price synchronicity in China based on the behavioral finance theory. This paper made an explorary study about the relation between limited arbitrage, stock price synchronicity and market efficiency. A conclusion different from the study about cash stock dividends in foreign
Bingbing Wang, Xinping Xia, Hao Xiao
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Individualism, Synchronized Stock Price Movements, and Stock Market Volatility
SSRN Electronic Journal, 2012PurposeThe purpose of this paper is to examine the impact of national culture on herding behavior across international financial markets.Design/methodology/approachThe relation between national culture and investor behavior, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market ...
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Stock price synchronicity, cognitive biases, and momentum
European Financial Management, 2020AbstractThe momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high stock price synchronicity, a manifestation of ...
Chen Chen, John A. Doukas
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Stock Price Synchronicities in Emerging Markets
SSRN Electronic Journal, 2003This study examines the intra-market stock price synchronicities of emerging markets and attempts to explain the phenomenon in terms of factors that characterize the market structure, the market's speculative trading behavior, and the degree of integration with the world market.
Chin-Wen Hsin, Yuehtzu Liao
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