Stock price synchronicity and market liquidity: The role of funding liquidity

Doojin Ryu, Robert I. Webb and Jinyoung Yu

Finance Research Letters, 2024, vol. 61, issue C

Abstract: We examine the role of funding liquidity in shaping the relationship between stock price synchronicity and equity market liquidity in the context of an emerging market. Equity market liquidity and stock price synchronicity exhibit a U-shaped slope, contradicting the relative synchronicity hypothesis. Improvements in funding liquidity contribute to this pattern by providing liquidity for low-synchronicity stocks, which is more pronounced for thinly traded stocks.

Keywords: Emerging equity market; Funding liquidity; Market liquidity; Stock price synchronicity (search for similar items in EconPapers)
JEL-codes: G11 G12 G21 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000813

DOI: 10.1016/j.frl.2024.105051

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