Stock price synchronicity and information disclosure: Evidence from an emerging market

We provide empirical evidence on the informational role played by stock price synchronicity. Our findings suggest that the returns of firms with high synchronicity lead the returns of firms with low synchronicity in India during the period between 1999 and 2012. We argue that this lead-lag relationship arises because better information environment associated with firms exhibiting high synchronicity enables quick incorporation of relevant information. Our results are robust under different information conditions. We also show that the returns of firms with high synchronicity also lead the returns of market portfolio. (C) 2016 Elsevier Inc. All rights reserved.