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Stock pricing in Latin America: The synchronicity effect
Emerging Markets Review, 2019Abstract This paper investigated whether the stock price synchronicity level (SPSL) is a pricing factor in the Latin American scenario. To do so, the shares with the highest liquidity level listed in the stock exchange in five Latin American (LA) countries (Argentina, Brazil, Chile, Mexico and Peru) were used.
Fabiano Guasti Lima, Bruno Figlioli
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What Determines Stock Price Synchronicity in REITs?
The Journal of Real Estate Finance and Economics, 2010This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2006. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks.
Chung, R +3 more
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Public Data Access and Stock Price Synchronicity: Evidence From China
Social Science Research Network, 2023Using the staggered opening of governmental public data platforms in China, we employ the difference-in-difference approach to investigate how public data access affects stock price synchronicity.
Jiayue Du +3 more
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Is ESG Data Financially Viable? A Case of Stock Price Synchronicity
Management and Labour Studies, 2023According to the information efficiency view, stock price synchronicity reflects the degree of integration of firm-specific information with market-level information.
Srikanth Potharla +3 more
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Stock price synchronicity and tails of return distribution
Journal of International Financial Markets, Institutions and Money, 2015Abstract This paper uses stock price synchronicity to explain the cross-sectional variation in return asymmetries for firms listed in Finland, Sweden, Norway, and Denmark during the period between 2000 and 2012. Our results show that firms with high synchronicity have higher probability of generating heavier positive tails than firms with low ...
Omar Farooq +2 more
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OFDI and stock price synchronicity: Evidence from China
Accounting & FinanceUsing the data on outward foreign direct investment (OFDI) by listed companies in China, we find that OFDI significantly increases stock price synchronicity.
Yanyi Wang, Xueyong Zhang
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Manager‐specific manipulation of tone and stock price synchronicity
Accounting & FinanceUsing a sample of Chinese listed firms from 2008 to 2020, we find that manager‐specific upward manipulation of tone in the Management Discussion and Analysis (MD&A) section is associated with greater stock price synchronicity.
Miao Jiang, Bo Zhu, Luxi Li
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Institutional investor distraction and stock price synchronicity
Accounting & FinanceThis article examines the relation between institutional investor distraction and stock price synchronicity using extreme industry returns as an exogenous shock to investor attention.
Taiyun Zhou, Gang Yao
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Social Media Networks and Stock Price Synchronicity: Evidence from a Chinese Stock Forum
Abacus. A Journal of Accounting and Business StudiesThe widespread communication and interaction between small investors on social media in the capital market has resulted in the formation of a social media network specific to listed companies.
Feng Guo +3 more
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The role of stock price synchronicity on the return-sentiment relation
The North American Journal of Economics and Finance, 2019Abstract Traditional finance leaves no roles for investor sentiment on account of the efficient information and arbitrage. This paper investigates how information adjusts the individual stock investor sentiment effects on stock prices. We find that the return-sentiment relations on stocks with low stock price synchronicity outperform those with high ...
Liyun Zhou, Lanlan Rao
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