Abstract
Stock Price Synchronicity is a calculation used to show the proportion of the company's internal and external information accumulated into the stock price. This study aims to examine internal information in the form of sustainability reports and earnings quality on stock price synchronicity. Furthermore, this study also aims to examine the moderating effect of institutional investors as an indicator of sophisticated investors. The population in this study is a go-public manufacturing company on the Indonesia Stock Exchange (BEI). The sample was determined by the purposive sampling method. This research uses multiple regression analysis methods with a panel data form. The results showed that companies with a higher quality of sustainability reports had lower stock price synchronicity and institutional investors did not have a moderating effect in this relationship. The results also show that companies that have higher earnings quality have high stock price synchronicity as well. This relationship changes when the institutional investor moderation variable is added. Companies with higher earnings quality have lower stock price synchronicity values.
Highlights
The efficient market hypothesis explains that stock prices will reflect all the information available to investors
The two information will accumulate more into the stock price so that the presence of institutional investors will strengthen the relationship between sustainability reports, earnings quality and stock price synchronicity. (Grewal, Hauptmann, & Serafeim, 2020) found that institutional investors significantly moderate the relationship between sustainability information and stock price synchronicity. (Zhou, 2007) proved that a sample with higher financial analysts and institutional investors was able to strengthen the relationship between earnings quality and stock price synchronicity
The results showed that institutional investors were able to strengthen the relationship between earnings quality and stock price synchronicity
Summary
The efficient market hypothesis explains that stock prices will reflect all the information available to investors. This study investigates 2 types of fundamental information, namely financial information (earnings quality) and non-financial information (CSR) on stock price synchronicity, in contrast to previous studies which only investigated one type of information (Cheng, Johnston, & Zhou, 2012; Lyimo , 2014; Dasgupta, Gan, & Gao, 2010; Grewal, Hauptmann, & Serafeim, 2020). This study contributes to the growth of research investigating the relationship between earnings quality and stock price synchronicity because according to Cheng, Johnston, & Zhou (2012) there is still relatively little research related to this. This study aims to examine internal information in the form of sustainability reports and earnings quality on stock price synchronicity. The organization of the texts in this study starts with an introduction, literature review, research and methodology, results and discussion, and ends with conclusions
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