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.
|Journal||Review of Pacific Basin Financial Markets and Policies|
|Publication status||Published - Sep 2012|
- Asymmetric information
- Illiquidity factor
- Market decline