Stock Price Synchronicity and Information Asymmetry

Mohammad Reza Toutounchi Asl () and Sohrab Abdi ()
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Mohammad Reza Toutounchi Asl: İstanbul Üniversitesi, Sosyal Bilimler Enstitüsü, İşletme Anabilim Dalı, Muhasebe Doktora Programı, İstanbul, Turkiye
Sohrab Abdi: Urmia Üniversitesi, İktisat ve İşletme Fakültesi, Muhasebe Yüksek Lisans Programı, Urmia, Iran

Muhasebe Enstitusu Dergisi - Journal of Accounting Institute, 2023, vol. 0, issue 68, 57-70

Abstract: This study aims to investigate how stock price synchronization affects information asymmetry. In this regard, the stock price synchronicity was estimated using the Market Model. Furthermore, the proposed buy and sell gap was used to evaluate information asymmetry. Therefore, to achieve the purpose of the research we have screened 95 firms from among accepted firms in the Tehran Stock Exchange from 2010 to 2020, including analysis. Accordingly, a multiple regression model is used to test our hypotheses. According to the results, there is a direct and significant relationship between Stock Price Synchronicity and Information Asymmetry. In other words, as a result of the publication of special information and the reflection of this information on the prices of stocks, it reduces the price synchronicity of stock and at the same time creates a smooth flow of information to investors, thus reducing information asymmetry.

Keywords: Information Asymmetry; Information Disclosure; Stock Price Synchronicity JEL Classification : M41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ist:imeder:v:0:y:2023:i:68:p:57-70

DOI: 10.26650/MED.1098727

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