Public data acces and stock price synchronicity: Evidence from China

Jiayue Du, Haoyu Gao, Huiyu Wen and Yanyi Ye

Economic Modelling, 2024, vol. 130, issue C

Abstract: This paper investigates how public data facilitates financial market informativeness. The increasing information efficiency in digital economics has raised great attention in extant literature. Using the staggered difference-in-differences approach, we investigate how public data access enhanced by establishing governmental public data platforms affects stock price synchronicity, measured by the relative importance of firm-specific information to market-level information capitalized into stock prices. We find that public data access significantly reduces local firms' stock price synchronicity. The underlying mechanism is that public data access mitigates information-acquisition costs and facilitates the incorporation of firm-specific information into investors' decision-making rather than increased market attention or corporate disclosure quality. Public data platforms’ informational role is magnified when investors face higher informed trade risk or concern about poor corporate governance. Under the urgent need for value realization of data elements, we provide essential implications in promoting public data opening to improve financial market efficiency.

Keywords: Information-acquisition costs; Information infrastructure; Public data access; Stock price synchronicity (search for similar items in EconPapers)
JEL-codes: D82 G14 H41 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004030

DOI: 10.1016/j.econmod.2023.106591

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