Stock price synchronicity and information disclosure: Evidence from an emerging market

Omar Farooq and Moataz Hamouda

Finance Research Letters, 2016, vol. 18, issue C, 250-254

Abstract: We provide empirical evidence on the informational role played by stock price synchronicity. Our findings suggest that the returns of firms with high synchronicity lead the returns of firms with low synchronicity in India during the period between 1999 and 2012. We argue that this lead-lag relationship arises because better information environment associated with firms exhibiting high synchronicity enables quick incorporation of relevant information. Our results are robust under different information conditions. We also show that the returns of firms with high synchronicity also lead the returns of market portfolio.

Keywords: Stock price synchronicity; Information disclosure; Marginal investors; Emerging markets (search for similar items in EconPapers)
JEL-codes: G34 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:250-254

DOI: 10.1016/j.frl.2016.04.024

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