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Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market

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  • Yingyi Hu
  • Tiao Zhao
  • Lin Zhang

Abstract

We investigate whether low price synchronicity means a better information environment and more price informativeness in terms of the integration speed for firm-specific information and market-wide information. The results show that, for different time intervals, low price synchronicity may not be related to a better information environment and more price informativeness. Stocks with low price synchronicity consistently underperform in terms of the integration speed of market-wide information and possess characteristics related to a poor information environment over short horizons. Variations in information asymmetry and noise trading could be the reason for the different integration speed for firm-specific information and market-wide information over different horizons.

Suggested Citation

  • Yingyi Hu & Tiao Zhao & Lin Zhang, 2019. "Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(5), pages 1014-1033, April.
    • Handle: RePEc:mes:emfitr:v:55:y:2019:i:5:p:1014-1033
    DOI: 10.1080/1540496X.2018.1528973
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    Cited by:

    1. Sana Saleem & Muhammad Usman & Muhammad Naveed Akhtar, 2023. "Does Private Information Always Hurt Retail Investors? The Impact of Private Information on Cost of Equity: Moderating Role of Investment Adjustment," SAGE Open, , vol. 13(4), pages 21582440231, November.
    2. Gu, Leilei & Li, Xiaoyu & Peng, Yuchao & Zhou, Junnan, 2022. "Voluntary CEO turnover, online information, and idiosyncratic volatility," Finance Research Letters, Elsevier, vol. 49(C).
    3. Fan, Di & Liang, Tianheng & Yeung, Andy C.L. & Zhang, Haomin, 2020. "The impact of capacity-reduction initiatives on the stock market value of Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 223(C).
    4. Mohamed Douch & Omar Farooq & Yuliya Kalinina, 2020. "Exposure to Provincial and National Information and Firm Performance: Crisis Period Evidence from China," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(1), pages 1-11, February.
    5. Manh-Tung Ho & Ngoc-Thang B. Le & Hung-Long D. Tran & Quoc-Hung Nguyen & Manh-Ha Pham & Minh-Hoang Ly & Manh-Toan Ho & Minh-Hoang Nguyen & Quan-Hoang Vuong, 2021. "A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020," JRFM, MDPI, vol. 14(5), pages 1-24, May.
    6. 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).

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