Asymmetric information and market decline: evidence from the Chinese market

Paresh Kumar Narayan, Xinwei Zheng

Research output: Contribution to journalReview ArticleResearchpeer-review

4 Citations (Scopus)

Abstract

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.

Original languageEnglish
Article number1250019
JournalReview of Pacific Basin Financial Markets and Policies
Volume15
Issue number3
DOIs
Publication statusPublished - Sep 2012
Externally publishedYes

Keywords

  • Asymmetric information
  • Illiquidity factor
  • Market decline

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