Stock Price Synchronicity and Stock Liquidity: International Evidence

51 Pages Posted: 22 Jan 2023

See all articles by Paul Brockman

Paul Brockman

Lehigh University - College of Business

Tung Lam Dang

The University of Danang

Thu Phuong Pham

Curtin University; IPAG Business School; Financial Research Network (FIRN)

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.

Keywords: Liquidity, Synchronicity, International, Institutional environments

Suggested Citation

Brockman, Paul and Dang, Tung Lam and Pham, Thu Phuong, Stock Price Synchronicity and Stock Liquidity: International Evidence. Available at SSRN: https://ssrn.com/abstract=4334451 or http://dx.doi.org/10.2139/ssrn.4334451

Paul Brockman (Contact Author)

Lehigh University - College of Business ( email )

Bethlehem, PA 18015
United States

Tung Lam Dang

The University of Danang ( email )

41 Le Duan street
Danang
Vietnam

Thu Phuong Pham

Curtin University ( email )

GPO Box U1987
Perth WA 6845
Australia
6102 (Fax)

IPAG Business School ( email )

184 BD Saint Germain
Paris, 75006
France

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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