The role of stock price concurrency in investment portfolio performance in different time horizons

Document Type : Original Article

Authors
saeed salehi 1
narges yazdanian 2
seyed alireza mirarab 3
Hoda Hemmati 2
1 Ph.D Candidate of Financial engineering, Department of Management and Accounting, Rudehen Branch, Islamic
2 Assistant Professor, Department of Management and Accounting, Rudehen Branch, Islamic Azad University, Rudehen, Iran
3 Assistant Professor, Department of Management and Accounting, Rudehen Branch, Islamic Azad University
10.22034/jik.2027.24369
Abstract
The purpose of this research was to investigate the role of stock price concurrency in the performance of investment portfolios in different time horizons. The statistical population of the research is made up of all the companies admitted to the Tehran Stock Exchange during the years 1390 to 1399, of which 118 companies have been studied as a statistical sample of the research. The research data was analyzed using regression models using the combined data method. In this research, price simultaneity was first tested as a risk factor in asset pricing model and the results showed that price simultaneity is a significant risk factor in asset pricing. Also, the findings of the research indicated that the portfolio based on price simultaneity has a better performance in terms of returns than portfolios with uniform weights and minimum variance portfolio, but the portfolio risk in this method is more than the other two methods. Shannon's entropy estimation of this portfolio in different quantiles of price synchronicity also showed that the highest level of uncertainty occurs in the beginning and end portfolios of price synchronicity and in the middle portfolio with average synchronicity, the lowest level of uncertainty can be achieved.
Keywords
price concurrency
portfolio performance
asset pricing
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