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The way digitalization is impacting international financial markets: Stock price synchronicity

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  • Chen Chen
  • M. Mahdi Moeini Gharagozloo
  • Layla Darougar
  • Lei Shi

Abstract

This paper investigates whether and how the development level of a country's digital economy affects stock price synchronicity. The results indicate that countries with high levels of digital economy development exhibit low stock price synchronicity. Additionally, by decomposing stock price synchronicity into systematic and firm‐specific stock return variations, we find that systematic (firm‐specific) variations of stock returns decrease (increase) with the level of a country's digitalization. These findings shed light on the future trend of stock price synchronicity in financial markets around the world and support the information‐based interpretation of stock price synchronicity.

Suggested Citation

  • Chen Chen & M. Mahdi Moeini Gharagozloo & Layla Darougar & Lei Shi, 2022. "The way digitalization is impacting international financial markets: Stock price synchronicity," International Finance, Wiley Blackwell, vol. 25(3), pages 396-415, December.
    • Handle: RePEc:bla:intfin:v:25:y:2022:i:3:p:396-415
    DOI: 10.1111/infi.12416
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