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

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.

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