Asymmetric information and market decline: evidence from the Chinese market
Data(s) |
01/01/2012
|
---|---|
Resumo |
In this paper, we show that aggregate illiquidity is a priced risk factor on the Shanghai Stock Exchange (SHSE). We develop the relationship between the illiquidity factor, asymmetric information, and market decline. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger market decline. |
Identificador | |
Idioma(s) |
eng |
Publicador |
World Scientific Publishing Co. Pte. Ltd. |
Relação |
http://dro.deakin.edu.au/eserv/DU:30050798/narayan-asymmetricinformation-2012.pdf http://dro.deakin.edu.au/eserv/DU:30050798/narayan-asymmetricinformation-evid-2012.pdf http://dx.doi.org/10.1142/S0219091512500191 |
Palavras-Chave | #illiquidity factor #asymmetric information #market decline |
Tipo |
Journal Article |