Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Stock Price Synchronicity and Stock Price Crash Risk: Based on The Mediating Effect of Legal Herding Behavior

Document Type : Original Article

Authors
Mohammad Javad Zare bahnamiri
Ladan Kashiri
10.22034/jse.2019.11147
Abstract
In recent decades phenomena based on inefficiency have been observed in various international stock exchange markets. The phenomena such as extreme fluctuations in prices, price bubbles, falling price, calendar effects, differences in the return on stocks of small and large companies, and the difference in return on equity and growth, all reflect market inefficiencies and the absence of a balance between price and fundamental variables. It is anticipated that the synchronization of stock prices and the risk of falling stock prices would have an effect as well as herding behavior as a mediator on the relationship of this variable. The sample companies in this study belong to the companies accepted in the Tehran Stock Exchange in the period from 2012 to 2016. In this study Chen et al. (2001) and Kim et al. (2011) models for stock price crash risk and Piotroski and Roulstone (2004) models for measuring the Stock price synchronicity and Lakonishok model (1992) to measure herding behavior. The findings show that there is no significant relationship between stock price synchronicity and the stock price crash risk, the result of the second hypothesis of the research is based on the mediating role of herding behavior in the relationship between stock price synchronicity and stock price crash risk.
Keywords
legal herding behavior
Stock price synchronicity
stock price crash risk
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Quarterly Journal of Securities Exchange
Volume 12, Issue 45
Summer 2019
Pages 25-45