The Analysis on Stock Price Synchronicity in China

Abstract

This paper focuses on the stock price synchronicity in China. By constructing the variables and measuring the regression, we find that the synchronous stock price movement is pretty high in China. The synchronicity of stock price movement between the firm-specific stock and the market is measured by R2 in the market model. We propose that the system risks coming from the specific political policies and surrounding in China, the unsound property right, the market opening level, the scale of the financial market and the corporation itself may be the main factors in China attributed to the stock price co-movements in China.