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)


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
Issue number3
Publication statusPublished - Sept 2012
Externally publishedYes


  • Asymmetric information
  • Illiquidity factor
  • Market decline

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