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Delamination of information disclosure and stock price synchronicity — Evidence from China’s NEEQ market

Author

Listed:
  • Feng, Ying
  • Wang, Hong
  • Sha, Yezhou

Abstract

Information disclosure aids investor in better valuating firm, but how does stock price react to a better information disclosure environment? Using a policy shock in which information disclosure requirements are delaminated, we implement a difference-in-difference approach to evaluate how delaminated stocks behave differently compared to other stocks listed in a Chinese OTC market NEEQ. We find that this reduces the stock price synchronicity of those affected stocks, controlling other firm characteristics. Investors are motivated by the policy, as evidenced by the increased trading volume to the affected stocks, which serving a mediating role that affects the synchronicity of stock prices. We interpret the result that more firm-specific information is reflected in the price through transactions, hence the improved pricing efficiency of the delaminated stocks shows a decline of synchronicity.

Suggested Citation

  • Feng, Ying & Wang, Hong & Sha, Yezhou, 2023. "Delamination of information disclosure and stock price synchronicity — Evidence from China’s NEEQ market," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 614-623.
    • Handle: RePEc:eee:ecanpo:v:80:y:2023:i:c:p:614-623
    DOI: 10.1016/j.eap.2023.09.009
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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