Stock price synchronicity, liquidity creation and internal dividends
: evidence from U.S. banking

  • Yeliangzi Zheng

Student thesis: Doctoral Thesis (PhD)


This thesis explores the determinants of stock price synchronicity, liquidity creation and internal dividends in the context of the United States (U.S.) banking industry. As a quasi-experimental setting, we utilise the implementation of the 2015 Small Bank Holding Companies (BHCs) Policy Statement (SBHCPS hereafter) as a source for exogenous variation, which revised the asset size criteria for identifying small BHCs from $500 million to $1 billion, and reduced financial reporting and capital requirements.

In Chapter 2, we investigate the ongoing debate on the relationship between stock return synchronicity and informativeness in the banking industry. We utilise a reduction in financial reporting requirements introduced by the SBHCPS as a proxy of a decrease in bank transparency. Using regression discontinuity approach and a sample of U.S. listed BHCs over the period of 2014Q3 through 2016Q2, we find that the BHCs affected by the regulatory change experience significant decreases in stock return synchronicity, supporting a positive relationship between price synchronicity and informativeness.

In Chapter 3, we investigate the impact of the SBHCPS on liquidity creation. Using a difference-in-differences approach, and a sample of U.S. commercial banks over the period 2013Q1 through 2016Q4, we find an increase in liquidity creation for the commercial banks owned by BHCs that are classified as small BHCs following the regulatory change. With more equity infusion from parent companies, banks create more liquidity on the asset side.

In Chapter 4, we investigate how capital constraint affects BHC internal dividends. Using the provision of loosened capital requirements to proxy an ease of capital constraint, and a sample of U.S. BHCs over the period 2012 through 2017, we find the qualified small BHCs require less internal dividends from the bank segments. The decrease in internal dividends is more pronounced when the BHCs do not have access to public capital markets.
Date of Award4 Dec 2024
Original languageEnglish
Awarding Institution
  • University of St Andrews
SupervisorPejman Abedifar (Supervisor), John Ogilvie Stephen Wilson (Supervisor) & Kais Ben Hmida Bouslah (Supervisor)


  • Stock price synchronicity
  • Liquidity creation
  • Internal dividends

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  • Full text embargoed until
  • 24 June 2027

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