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Public emergencies and stock price synchronicity: Evidence from China

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  • Li, Tong
  • Wang, Chunfeng
  • Cui, Xin
  • Niu, Duo
  • Yao, Shouyu

Abstract

To assess the performance of stock market efficiency in the face of public emergencies, this study investigates the impact of the 2020–2022 global health crisis on stock price synchronicity using data from Shanghai and Shenzhen A-share listed firms. Empirical results document a marked reduction in stock price synchronicity following the pandemic shock, a result that is invariant to various alternative specifications. Further investigation into the underlying channels suggests that the pandemic hinders information production by institutional investors and information acquisition by retail investors. Further micro-market evidence on bid-ask spreads and VPIN confirms that this severely deteriorated information environment triggers a surge in uninformative noise trading, ultimately reducing stock price synchronicity. Cross-sectional analyses show that the observed decline is significantly attenuated for firms characterized by superior transparency and extensive analyst following. Conversely, the dampening effect is significantly exacerbated for stocks with high retail investor attention and those exposed to a pessimistic external public opinion environment.

Suggested Citation

  • Li, Tong & Wang, Chunfeng & Cui, Xin & Niu, Duo & Yao, Shouyu, 2026. "Public emergencies and stock price synchronicity: Evidence from China," Research in International Business and Finance, Elsevier, vol. 87(C).
    • Handle: RePEc:eee:riibaf:v:87:y:2026:i:c:s0275531926001479
    DOI: 10.1016/j.ribaf.2026.103420
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