dc.contributor.author | Rzayev, Rauf | |
dc.date.accessioned | 2023-10-16T12:32:30Z | |
dc.date.available | 2023-10-16T12:32:30Z | |
dc.date.issued | 2022-05 | |
dc.identifier.uri | http://hdl.handle.net/20.500.12181/735 | |
dc.description.abstract | The purpose of this research paper is to investigate whether and how economic policy uncertainty (EPU) affects the stock price synchronicity (SYNCH) and empirically validate a model to explain the this correlation. In this study, economic policy uncertainty is considered the main independent variable and is believed to have an impact on the dependent variable, stock price synchronicity. The model also describes the individual effects of firms-specific and country-specific control variables that are believed to have significant differences that need to be controlled for. The proposed model was tested by collecting data for the sample of 71082 observations during 2010-2019 from different industries such as “Basic Materials”, “Consumer Cyclicals”, “Energy”, “Healthcare”, “Real Estate”, “Industrials”, “Technology” and “Utilities” in 20 countries in which the EPU index is applicable to. Pooled OLS regression model analysis was performed for identifying the correlation between the variables and their significance by using a statistical tool, STATA 13.0. The proposed model was found to predict that the economic policy uncertainty (EPU) has a negative impact on the stock price synchronicity (SYNCH), with statistical significance (p-value ~ 0, t-value of -35.91). While some control variables such as dividend yield, loss-making, GDP, legal authority reinforces the negative impact of EPU on SYNCH, some other control variables such as size, market to book ratio, leverage and press freedom attenuate the negative effect of EPU on stock price synchronicity. The results obtained from this study will help the researchers and practitioners to be able to analyze understand and analyze the correlation between the EPU and SYNCH. | en_US |
dc.language.iso | en | en_US |
dc.publisher | ADA University | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Economic policy uncertainty. | en_US |
dc.subject | Stock price synchronicity. | en_US |
dc.subject | Cross country analysis. | en_US |
dc.title | Economic Policy Uncertainty and its impact on Stock Price Synchronicity – Cross country analysis | en_US |
dc.type | Thesis | en_US |
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