A Survey on the Relationship between Price Concurrency and Distribution of Stock Return Volatility

Document Type : Research Paper

Authors

1 phd

2 Department of Management, Economics and Accounting, Payame Noor University, I.R. of Iran.*

Abstract

 
Stock price volatilities leading to firm's return volatilities are important concerns for capital and investment markets, because such volatilities determine the earnings from resource allocations. This paper examines the relationship between stock price concurrency and distribution of returns volatilities among companies listed in Tehran Stock Exchange (TSE). The statistical sample consists of 107 companies during 2011-2016. The findings show that there is no significant association between price concurrency and systematic stock return volatilities. In addition, there is no significant relationship between price concurrency and non-systematic stock return volatilities. In fact, changes in stock price are not necessarily in line with the market movements and volatilities in companies' returns cannot be influenced by each company's price concurrency relative to the market price changes.
 

Keywords

References

 
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Iranian Economic Development Analyses
Volume 5, Issue 3 - Serial Number 16
October 2018
Pages 91-108

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