Open public data and stock price delay: evidence from a quasi-natural experiment in China

Stock price delay serves as a key metric of information efficiency in stock markets, and identifying its determinants is essential for promoting market information efficiency. This study examines the effect of open public data (OPD) on stock price delay. Using the staggered adoption of city-level OPD portals in China as a quasi-natural experiment, our difference-in-differences analysis finds that OPD significantly reduces stock price delay, with an economic magnitude representing approximately 7.9% of its standard deviation. Cross-sectional analyses demonstrate that this effect is more pronounced when (1) public data on OPD portals are of higher quality, (2) public data are more relevant to firm operations, (3) public data are less substitutable, (4) investors have greater information processing capacity, and (5) firms’ information disclosure quality is lower. Additional tests show that OPD implementation is associated with improved liquidity, reduced return volatility, and diminished information content of earnings announcements. This study makes a valuable contribution to the literature on the determinants of stock price delay and the economic consequences of OPD, while offering insights for policymakers seeking to enhance market information efficiency and assess the effectiveness of OPD initiatives.