dc.contributor.author |
Kan, S |
en |
dc.contributor.author |
Gong, Xihe |
en |
dc.date.accessioned |
2018-10-10T23:16:30Z |
en |
dc.date.issued |
2017 |
en |
dc.identifier.issn |
1369-412X |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/40626 |
en |
dc.description.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. |
en |
dc.publisher |
Wiley |
en |
dc.relation.ispartofseries |
International Review of Finance |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.title |
Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1111/irfi.12157 |
en |
pubs.issue |
4 |
en |
pubs.begin-page |
523 |
en |
pubs.volume |
18 |
en |
dc.rights.holder |
Copyright: The author |
en |
pubs.end-page |
546 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
698955 |
en |
pubs.record-created-at-source-date |
2017-10-23 |
en |
pubs.online-publication-date |
2017-10-12 |
en |