Stock price synchronicity and stock liquidity: International evidence

Paul Brockman, Tung Lam Dang and Thu Phuong Pham ()

Journal of Empirical Finance, 2024, vol. 79, issue C

Abstract: We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our local (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our global (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship.

Keywords: Liquidity; Synchronicity; International; Institutional environments (search for similar items in EconPapers)
JEL-codes: F23 G15 M16 (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:empfin:v:79:y:2024:i:c:s0927539824000756

DOI: 10.1016/j.jempfin.2024.101541

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