Information Asymmetry and Return Synchronicity in Emerging Market

This study investigates the influence of information asymmetry on stock price synchronicity using data from 356 non-financial listed companies on the Hochiminh City Stock Exchange (HOSE) in Vietnam over a 10-year period (2014 to 2023).We employ various statistical econometric models to test our research hypothesis and enhance the accuracy of regression results, including the Pooled OLS (OLS) model, Random Effects (RE), Fixed Effects (FE), and the GLS model.Our findings reveal a negative impact of information asymmetry on stock price synchronicity.Particularly noteworthy is our observation that in emerging markets, stock prices exhibit greater synchronicity due to higher earnings quality and stronger corporate governance.Our results suggest that low synchronicity reflects corporate opacity and a deficient information environment, while high synchronicity signifies the opposite.The research insights offer valuable guidance to managers seeking to mitigate information asymmetry and enhance stock price synchronicity with the broader market.