| This paper traces stock price synchronicity between the U.S. stock market and 880 firms over the world. The results suggest important correlation between synchronicity and three groups of stock return variables: (1) Typical financial characteristics of firm such as financial leverage, PE ratio, and market cap. (2) Higher moments of stock returns including skewness, kurtosis, and standard deviation. (3) Geographical location of firm. The results suggest that stock price synchronicity is strongly related to financial leverage, but the sign of the relationship depends on sector characteristics. Firm size is also an important determinant of stock price synchronicity. Higher moments, as important estimators of risk sensitivity of firm, are also significantly related to synchronicity, while the relationship is also correlated with sector characteristics. Finally, the results from geographical location of firm show that the farther away the firm from the U.S., the less synchronized the firm are with the U.S. stock market. |
