In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse
History
Pagination
1-28
Language
eng
Notes
School working paper (Deakin University. School of Accounting, Economics and Finance) ; 2011/09
In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse
Publication classification
CN.1 Other journal article
Copyright notice
2011, The Authors
Publisher
Deakin University, School of Accounting, Economics and Finance
Place of publication
Geelong, Vic.
Series
School Working Paper - Economics Series ; SWP 2011/09