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Stock price synchronicity and stock liquidity: International evidence

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  • Brockman, Paul
  • Dang, Tung Lam
  • Pham, Thu Phuong

Abstract

We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our local (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our global (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship.

Suggested Citation

  • Brockman, Paul & Dang, Tung Lam & Pham, Thu Phuong, 2024. "Stock price synchronicity and stock liquidity: International evidence," Journal of Empirical Finance, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000756
    DOI: 10.1016/j.jempfin.2024.101541
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    More about this item

    Keywords

    Liquidity; Synchronicity; International; Institutional environments;
    All these keywords.

    JEL classification:

    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M16 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - International Business Administration

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