Abstract
We examine the role of funding liquidity in shaping the relationship between stock price synchronicity and equity market liquidity in the context of an emerging market. Equity market liquidity and stock price synchronicity exhibit a U-shaped slope, contradicting the relative synchronicity hypothesis. Improvements in funding liquidity contribute to this pattern by providing liquidity for low-synchronicity stocks, which is more pronounced for thinly traded stocks.
| Original language | English |
|---|---|
| Article number | 105051 |
| Journal | Finance Research Letters |
| Volume | 61 |
| DOIs | |
| Publication status | Published - Mar 2024 |
Keywords
- Emerging equity market
- Funding liquidity
- Market liquidity
- Stock price synchronicity
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Ryu, D., Webb, R. I., & Yu, J. (2024). Stock price synchronicity and market liquidity: The role of funding liquidity. Finance Research Letters, 61, Article 105051. https://doi.org/10.1016/j.frl.2024.105051