Delamination of information disclosure and stock price synchronicity — Evidence from China’s NEEQ market

Ying Feng, Hong Wang and Yezhou Sha

Economic Analysis and Policy, 2023, vol. 80, issue C, 614-623

Abstract: Information disclosure aids investor in better valuating firm, but how does stock price react to a better information disclosure environment? Using a policy shock in which information disclosure requirements are delaminated, we implement a difference-in-difference approach to evaluate how delaminated stocks behave differently compared to other stocks listed in a Chinese OTC market NEEQ. We find that this reduces the stock price synchronicity of those affected stocks, controlling other firm characteristics. Investors are motivated by the policy, as evidenced by the increased trading volume to the affected stocks, which serving a mediating role that affects the synchronicity of stock prices. We interpret the result that more firm-specific information is reflected in the price through transactions, hence the improved pricing efficiency of the delaminated stocks shows a decline of synchronicity.

Keywords: Price informativeness; Stock return synchronicity; Information disclosure (search for similar items in EconPapers)
JEL-codes: G14 G21 G28 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:80:y:2023:i:c:p:614-623

DOI: 10.1016/j.eap.2023.09.009

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