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Abstract
We examine the extent to which stock prices comove in an emerging economy, India. We first document that stocks listed on the National Stock Exchange (NSE) comove. Further, we find that synchronicity is positively associated with growth and earnings volatility and negatively associated with business group affiliation and leverage.
Notes
1. Business groups, loosely defined as a collection of independent firms owned by a single family or group of families, are ubiquitous in emerging economies.
2. There are twenty-two stock exchanges in India. Refer to http://www.sebi.gov.in/sebiweb/userview/detail/2/388/No%20of%20Stock%20Exchange for details.
3. All hypotheses have been stated in the alternate form.
4. Indeed, some of the BGs in India (e.g., the Tata group) have been in existence for more than 100 years.
5. The size control variable is omitted from the model for H1
6. Crawford, Roulstone, and So (Citation2012) report mean and median synchronicities of −4.48 and −3.32, respectively.