Stock price synchronicity and market liquidity: The role of funding liquidity

被引：4
|
作者：
Ryu, Doojin [1 ]
Webb, Robert I. [2 ,3 ]
Yu, Jinyoung [4 ]
机构：
[1] Sungkyunkwan Univ, Dept Econ, Seoul, South Korea
[2] Univ Virginia, McIntire Sch Commerce, Charlottesville, VA USA
[3] Sungkyunkwan Univ, SKKU Global Finance Res Ctr, Seoul, South Korea
[4] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Suzhou, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2024年 / 61卷
关键词：
Emerging equity market; Funding liquidity; Market liquidity; Stock price synchronicity; MICROSTRUCTURE;
D O I：
10.1016/j.frl.2024.105051
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：7
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