Impact of Stock Price Synchronicity on Stock Liquidity in Pakistani Equity Market
Author: Komal Altaf

This study examines the impact of stock price synchronicity (SPS) and monetary policy with institutional ownership as a moderating variable on stock liquidity. The study uses a sample of 72 non-financial companies listed at the Pakistan Stock Exchange (PSX) from 2003 to 2019. The study uses stock liquidity as a dependent variable, and it is measured by using two proxies turnover ratio and liquidity ratio for robustness. Results from both the turnover ratio and liquidity ratio show robust results. Findings of the random effect model show that SPS improves stock liquidity, and a significant relationship also exists between stock liquidity and monetary policy which are consistent with the previous studies. The study also finds a positive relationship between institutional ownership and stock liquidity. The study finds that investors invest in those stocks which co-move with the market, as the Pakistani equity market is less developed relative to developed markets and investors do not have adequate information about stocks due to low information disclosures by the firm. Therefore, SPS increases stock liquidity. The results of this study can be used by investors, shareholders, managers, financial analysts, and market makers. Supervisor:- Dr. Ahmad Fraz

Meta Data

Supervisor: Ahmed Fraz

Related Thesis​