Deakin University
Browse

Asymmetric information and market collapse: evidence from the Chinese market

Version 2 2024-06-03, 14:56
Version 1 2018-03-08, 16:56
report
posted on 2024-06-03, 14:56 authored by PK Narayan, Xinwei ZhengXinwei Zheng
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

Usage metrics

    Research Publications

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC