The Way Digitalization is Impacting International Financial Markets: Stock Price Synchronicity
This paper investigates whether and how the development level of a country's digital economy affects stock price synchronicity. The results indicate that countries with high levels of digital economy development exhibit low stock price synchronicity. Additionally, by decomposing stock price synchronicity into systematic and firm‐specific stock return variations, we find that systematic (firm‐specific) variations of stock returns decrease (increase) with the level of a country's digitalization. These findings shed light on the future trend of stock price synchronicity in financial markets around the world and support the information‐based interpretation of stock price synchronicity.
© 2022 The Authors.
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Original Publication Citation
Chen, C., Moeini Gharagozloo, M. M., Darougar, L., & Shi, L. (2022). The way digitalization is impacting international financial markets: Stock price synchronicity. International Finance, 25(3), 396-415. https://doi.org/10.1111/infi.12416
Chen, Chen; Gharagozloo, M. Mahdi Moeini; Darougar, Layla; and Shi, Lei, "The Way Digitalization is Impacting International Financial Markets: Stock Price Synchronicity" (2022). Finance Faculty Publications. 38.