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Asymmetric information and market decline: evidence from the Chinese market

Narayan, Paresh Kumar and Zheng, Xinwei 2012, Asymmetric information and market decline: evidence from the Chinese market, Review of Pacific Basin financial markets and policies, vol. 15, no. 3, pp. 1-17, doi: 10.1142/S0219091512500191.

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Title Asymmetric information and market decline: evidence from the Chinese market
Author(s) Narayan, Paresh Kumar
Zheng, XinweiORCID iD for Zheng, Xinwei orcid.org/0000-0001-5970-4609
Journal name Review of Pacific Basin financial markets and policies
Volume number 15
Issue number 3
Start page 1
End page 17
Total pages 17
Publisher World Scientific Publishing Co. Pte. Ltd.
Place of publication Singapore
Publication date 2012
ISSN 0219-0915
1793-6705
Keyword(s) illiquidity factor
asymmetric information
market decline
Summary 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.
Language eng
DOI 10.1142/S0219091512500191
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900199 Financial Services not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30050798

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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