Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model

Objective: This research aim at identification of the factors affecting the stock price synchronicity and their ranking in a sample of 1030 years-companies from the Tehran Stock Exchange in the years 2006 to 2015. Methods: This research takes a sample that was selected through systematic elimination...

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Autores principales:	Mohsen Lotfi (Ph.D), Hamid Haghighat (Ph.D), Mohammadhossein Ghaemi (Ph.D)
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2019
Materias:	stock return synchronicity data mining methods neural network model c5 tree model Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/b666f29e063f4628ba4c15cc5dfe0c77
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spelling	oai:doaj.org-article:b666f29e063f4628ba4c15cc5dfe0c772021-11-04T19:54:23ZIdentification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model2008-89142476-292X10.22103/jak.2018.11404.2571https://doaj.org/article/b666f29e063f4628ba4c15cc5dfe0c772019-02-01T00:00:00Zhttps://jak.uk.ac.ir/article_2178_e75b2a0b999fff36738dd72a0f94eb9e.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XObjective: This research aim at identification of the factors affecting the stock price synchronicity and their ranking in a sample of 1030 years-companies from the Tehran Stock Exchange in the years 2006 to 2015. Methods: This research takes a sample that was selected through systematic elimination method, and examines the effects of macroeconomic variables (economic growth, inflation and unemployment rate), corporate governance system (institutional shareholder, concentration of ownership, and independence of the board), audit quality, agency problems (free cash flow, complexity of operations and information asymmetry), and company information characteristics (profit sustainability, conservatism, earning smoothing and opaque) on stock price synchronicity based on data mining methods (including neural network model and C5 tree model). Results: The results showed in corporate governance, the focus of ownership (based on the percentage of free float) and the independence of the board; in agency problems, the information asymmetry; in company information characteristics, the conservatism and opaque; and from macroeconomic variables, the economic growth have the most impact on the stock returns synchronicity. Also, the information asymmetry has the most impact on stock return synchronization based on different criteria. Conclusion: Given that the stock price synchronicity is considered the indication of stock price informativeness (the extent of access to specific company information) and efficiency of capital allocation, therefore, it is recommended to the capital market activists to pay special attention to the factors affecting this variable to improve their decisions.Mohsen Lotfi (Ph.D)Hamid Haghighat (Ph.D)Mohammadhossein Ghaemi (Ph.D)Shahid Bahonar University of Kermanarticlestock return synchronicitydata mining methodsneural network modelc5 tree modelAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 9, Iss 4, Pp 1-36 (2019)
institution	DOAJ
collection	DOAJ
language	FA
topic	stock return synchronicity data mining methods neural network model c5 tree model Accounting. Bookkeeping HF5601-5689
spellingShingle	stock return synchronicity data mining methods neural network model c5 tree model Accounting. Bookkeeping HF5601-5689 Mohsen Lotfi (Ph.D) Hamid Haghighat (Ph.D) Mohammadhossein Ghaemi (Ph.D) Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
description	Objective: This research aim at identification of the factors affecting the stock price synchronicity and their ranking in a sample of 1030 years-companies from the Tehran Stock Exchange in the years 2006 to 2015. Methods: This research takes a sample that was selected through systematic elimination method, and examines the effects of macroeconomic variables (economic growth, inflation and unemployment rate), corporate governance system (institutional shareholder, concentration of ownership, and independence of the board), audit quality, agency problems (free cash flow, complexity of operations and information asymmetry), and company information characteristics (profit sustainability, conservatism, earning smoothing and opaque) on stock price synchronicity based on data mining methods (including neural network model and C5 tree model). Results: The results showed in corporate governance, the focus of ownership (based on the percentage of free float) and the independence of the board; in agency problems, the information asymmetry; in company information characteristics, the conservatism and opaque; and from macroeconomic variables, the economic growth have the most impact on the stock returns synchronicity. Also, the information asymmetry has the most impact on stock return synchronization based on different criteria. Conclusion: Given that the stock price synchronicity is considered the indication of stock price informativeness (the extent of access to specific company information) and efficiency of capital allocation, therefore, it is recommended to the capital market activists to pay special attention to the factors affecting this variable to improve their decisions.
format	article
author	Mohsen Lotfi (Ph.D) Hamid Haghighat (Ph.D) Mohammadhossein Ghaemi (Ph.D)
author_facet	Mohsen Lotfi (Ph.D) Hamid Haghighat (Ph.D) Mohammadhossein Ghaemi (Ph.D)
author_sort	Mohsen Lotfi (Ph.D)
title	Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
title_short	Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
title_full	Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
title_fullStr	Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
title_full_unstemmed	Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model
title_sort	identification and ranking of effective factors on stock return synchronicity using neural networks and decision tree model
publisher	Shahid Bahonar University of Kerman
publishDate	2019
url	https://doaj.org/article/b666f29e063f4628ba4c15cc5dfe0c77
work_keys_str_mv	AT mohsenlotfiphd identificationandrankingofeffectivefactorsonstockreturnsynchronicityusingneuralnetworksanddecisiontreemodel AT hamidhaghighatphd identificationandrankingofeffectivefactorsonstockreturnsynchronicityusingneuralnetworksanddecisiontreemodel AT mohammadhosseinghaemiphd identificationandrankingofeffectivefactorsonstockreturnsynchronicityusingneuralnetworksanddecisiontreemodel
_version_	1718444613908299776

Identification and Ranking of Effective Factors on Stock Return Synchronicity Using Neural Networks and Decision Tree Model

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