Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market

Yingyi Hu, Tiao Zhao and Lin Zhang

Emerging Markets Finance and Trade, 2019, vol. 55, issue 5, 1014-1033

Abstract: We investigate whether low price synchronicity means a better information environment and more price informativeness in terms of the integration speed for firm-specific information and market-wide information. The results show that, for different time intervals, low price synchronicity may not be related to a better information environment and more price informativeness. Stocks with low price synchronicity consistently underperform in terms of the integration speed of market-wide information and possess characteristics related to a poor information environment over short horizons. Variations in information asymmetry and noise trading could be the reason for the different integration speed for firm-specific information and market-wide information over different horizons.

Date: 2019
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DOI: 10.1080/1540496X.2018.1528973

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