The Impact of Information Supply and Demand on Stock Price synchronicity in Tehran Stock Exchange

Document Type : Original Article

Authors

1 Assosiate Prof., Faculty of Management and Accounting, University of Tehran, Farabi College, Qom, Iran

2 Msc in financial management. university of tehran, Farabi College, Qom, Iran

3 Assistant Prof. , Department of Business Management, Collage of Farabi, University of Tehran, Qom, Iran.

Abstract

Objective: The aim of this research is to examine the impact of the supply and demand of information on stock price synchronization and to analyze the role of transparency or opacity in the informational environment as a moderating variable in this relationship. In financial markets, information is recognized as one of the most important factors influencing investment decisions and stock pricing. Differences between company-specific information and general market information can significantly affect the level of stock price synchronization. This research specifically focuses on investigating the impact of the flow of information, including both demand and supply of information, and how this flow can lead to changes in stock price synchronization. Furthermore, the study explores the impact of each company's informational environment on this relationship, particularly in cases where the company's informational environment is ambiguous or transparent.

Method: The research methodology is based on panel data, using a sample of 105 publicly listed companies from 12 different industries over the period from 2016 to 2023. To measure the demand for information, the indirect index of Google search volume is used, while media coverage volume is employed as an indicator of the supply of information. Since the flow of information in capital markets is not directly observable, these methods are used as proxies for information demand and supply. To test the research hypotheses, various regression models have been utilized.

Findings: The findings of the research indicate a significant and negative relationship between the demand for company-specific information and stock price synchronization, as well as between the supply of information and stock price synchronization. In other words, an increase in demand for company-specific information and an increase in information supply lead to stock prices being less influenced by general news and market developments, and more likely to change based on company-specific information. These results are consistent with hypotheses in the existing literature regarding the direct impact of information flow on prices. However, the research findings do not conclusively confirm a stronger negative relationship between media coverage and stock price synchronization in companies with a more opaque informational environment. This lack of confirmation may be due to the complexities involved in analyzing the effects of ambiguous informational environments, which seems to require more comprehensive studies and more complex models for precise analysis.

Conclusion: This research can be useful for investors and financial market analysts. A better understanding of how the supply and demand of information impact stock price synchronization can help them make more informed investment decisions. Additionally, this study can provide valuable insights for researchers and academics to understand the factors influencing stock price synchronization and improve informational environments. Ultimately, the conclusions of the research can offer recommendations to active media in the capital market to improve company information coverage and reduce the ambiguity of the informational environment.

Keywords

References

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Financial Management Perspective
Volume 15, Issue 3 - Serial Number 51
November 2025
Pages 121-143

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