Abstract
We investigate the link between stock return synchronicity and price informativeness by exploiting the Regulation SHO pilot program, which removed short-selling price tests for randomly selected stocks (“pilot stocks”) in May 2005. A difference-in-differences analysis reveals that relative to non-pilot stocks, pilot stocks saw a significantly larger increase in both price informativeness and return synchronicity when the pilot program started, but such difference disappeared when Regulation SHO removed the short-selling price tests for all stocks in July 2007. The results suggest that high return synchronicity reflects high, rather than low price informativeness.
Original language | English |
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Pages (from-to) | 523-546 |
Number of pages | 24 |
Journal | International Review of Finance |
Volume | 18 |
Issue number | 4 |
DOIs | |
Publication status | Published - Dec 2018 |
Externally published | Yes |