IDEAS home Printed from https://ideas.repec.org/a/bla/irvfin/v18y2018i4p523-546.html
   My bibliography  Save this article

Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment

Author

Listed:
  • Shuo Kan
  • Stephen Gong

Abstract

We investigate the link between stock return synchronicity and price informativeness by exploiting the Regulation SHO pilot program, which removed short‐selling price tests for randomly selected stocks (“pilot stocks”) in May 2005. A difference‐in‐differences analysis reveals that relative to non‐pilot stocks, pilot stocks saw a significantly larger increase in both price informativeness and return synchronicity when the pilot program started, but such difference disappeared when Regulation SHO removed the short‐selling price tests for all stocks in July 2007. The results suggest that high return synchronicity reflects high, rather than low price informativeness.

Suggested Citation

  • Shuo Kan & Stephen Gong, 2018. "Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 523-546, December.
    • Handle: RePEc:bla:irvfin:v:18:y:2018:i:4:p:523-546
    DOI: 10.1111/irfi.12157
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/irfi.12157
    Download Restriction: no
    File URL: https://libkey.io/10.1111/irfi.12157?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Doan, Anh-Tuan & Lin, Kun-Li, 2022. "Bank ownership and stock price informativeness. Does politics matter?," International Review of Financial Analysis, Elsevier, vol. 79(C).
    2. Li, Fengyun & Petsas, Iordanis & Cai, Jinghan, 2020. "Corporate events, return synchronicity and price efficiency," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    3. Husam Aldamen & Keith Duncan & Simone Kelly & Ray McNamara, 2020. "Corporate governance and family firm performance during the Global Financial Crisis," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1673-1701, June.
    4. Persakis, Antonios & Iatridis, George Emmanuel, 2023. "How economic uncertainty influences the performance of investor perceptions and behavior," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 51(C).
    5. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    6. Li, Mingsheng & Liu, Desheng & Peng, Hongfeng & Zhang, Luxiu, 2020. "Does low synchronicity mean more or less informative prices? Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 51(C).
    7. Abedifar, Pejman & Bouslah, Kais & Zheng, Yeliangzi, 2021. "Stock price synchronicity and price informativeness: Evidence from a regulatory change in the U.S. banking industry," Finance Research Letters, Elsevier, vol. 40(C).
    8. Tianyu Cai & Lixiong Guo & Yongxian Tan, 2024. "Short seller monitoring and real earnings management," The Financial Review, Eastern Finance Association, vol. 59(1), pages 203-225, February.
    9. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:irvfin:v:18:y:2018:i:4:p:523-546. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.