St Andrews Research Repository

St Andrews University Home
View Item 
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.

Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry

Thumbnail
View/Open
Abedifar_2020_FRL_Stockprice_AAM.pdf (556.8Kb)
Date
12/08/2020
Author
Abedifar, Pejman
Bouslah, Kais
Zheng, Yeliangzi
Keywords
Bank opacity
Financial regulation
Price informativeness
Stock return synchronicity
HG Finance
Finance
NDAS
Metadata
Show full item record
Altmetrics Handle Statistics
Altmetrics DOI Statistics
Abstract
Whether return synchronicity is associated with higher or lower stock price informativeness is still an ongoing debate in the academic literature. This paper contributes to this debate by exploiting an exogenous shock, provided by a regulatory change introduced by the Federal Reserve in 2015, and examining its impact on return synchronicity using a sample of U.S. listed bank holding companies (BHCs) operating during the period of 2014: Q3 – 2016: Q2. Applying a regression discontinuity design, we find that return synchronicity of treated BHCs decreases after the regulatory change. This finding suggests that lower return synchronicity represents lower stock price informativeness.
Citation
Abedifar , P , Bouslah , K & Zheng , Y 2020 , ' Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry ' , Finance Research Letters , vol. In press , 101678 . https://doi.org/10.1016/j.frl.2020.101678
Publication
Finance Research Letters
Status
Peer reviewed
DOI
https://doi.org/10.1016/j.frl.2020.101678
ISSN
1544-6123
Type
Journal article
Rights
Copyright © 2020 Elsevier Inc. All rights reserved. This work has been made available online in accordance with publisher policies or with permission. Permission for further reuse of this content should be sought from the publisher or the rights holder. This is the author created accepted manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.frl.2020.101678
Collections
  • University of St Andrews Research
URI
http://hdl.handle.net/10023/23764

Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

Advanced Search

Browse

All of RepositoryCommunities & CollectionsBy Issue DateNamesTitlesSubjectsClassificationTypeFunderThis CollectionBy Issue DateNamesTitlesSubjectsClassificationTypeFunder

My Account

Login

Open Access

To find out how you can benefit from open access to research, see our library web pages and Open Access blog. For open access help contact: openaccess@st-andrews.ac.uk.

Accessibility

Read our Accessibility statement.

How to submit research papers

The full text of research papers can be submitted to the repository via Pure, the University's research information system. For help see our guide: How to deposit in Pure.

Electronic thesis deposit

Help with deposit.

Repository help

For repository help contact: Digital-Repository@st-andrews.ac.uk.

Give Feedback

Cookie policy

This site may use cookies. Please see Terms and Conditions.

Usage statistics

COUNTER-compliant statistics on downloads from the repository are available from the IRUS-UK Service. Contact us for information.

© University of St Andrews Library

University of St Andrews is a charity registered in Scotland, No SC013532.

  • Facebook
  • Twitter