The intuition behind these results is straightforward. As an example, suppose that an event occurs which increases the likelihood that country X will default on its sovereign debt. This information is processed by specialized firms who quickly buy securities that track the probability of X's default. The prices of these securities increase, and if markets are synchronized, then the prices of all other securities adjust as well. As a result, an investor who purchases or sells any security in the market receives a more accurate price. Transaction costs are reduced because liquidity providers are more confident in market prices and require less of a price concession to transact with an order. In finance, this is known as a reduction in adverse selection costs.
If transaction costs are lower, then average investors benefit from synchronization. So, who loses? When prices are synchronized, information diffuses rapidly from security to security and informed investors are made somewhat redundant. In the model, they make less profit as a result.