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- W2384757360 abstract "Stock price synchronicity can reflect the relative proportion of market information and heterogeneity information in the stock price volatility, while the volatility of stock prices can be decomposed into systematic volatility caused by market information and idiosyncratic volatility caused by heterogeneity information. Due to information asymmetry and other causes, the stock price volatility is significantly correlated with stock liquidity. Therefore, the stock price synchronicity which reflects the relative proportion of the market information should have some impact on the stock liquidity, and that impact should be consistent with the impact of systematic volatility of stock prices. Through the empirical analysis of the transaction data during 1994-2013 in Shanghai and Shenzhen Stock Exchanges,it is found that stock price synchronicity can really affect stock liquidity, i.e. the higher stock price synchronicity can improve the liquidity of individual shares; while the systematic volatility of stock prices is significantly and negatively correlated with the liquidity. The reason for this lies in theHerd Effectof Chinese investors and the underdeveloped derivative market which renders the stock market unable to hedge the systematic volatility." @default.
- W2384757360 created "2016-06-24" @default.
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- W2384757360 date "2015-01-01" @default.
- W2384757360 modified "2023-09-24" @default.
- W2384757360 title "Stock Price Synchronicity, Volatility Difference and Liquidity: An Empirical Study Based on Shanghai and Shenzhen Stock Markets" @default.
- W2384757360 hasPublicationYear "2015" @default.
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