Description:
We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our local (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our global (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship