TY - JOUR
T1 - Asymmetric information and market decline
T2 - evidence from the Chinese market
AU - Narayan, Paresh Kumar
AU - Zheng, Xinwei
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2012/9
Y1 - 2012/9
N2 - 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.
AB - 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.
KW - Asymmetric information
KW - Illiquidity factor
KW - Market decline
UR - http://www.scopus.com/inward/record.url?scp=84867795009&partnerID=8YFLogxK
U2 - 10.1142/S0219091512500191
DO - 10.1142/S0219091512500191
M3 - Review Article
AN - SCOPUS:84867795009
SN - 0219-0915
VL - 15
JO - Review of Pacific Basin Financial Markets and Policies
JF - Review of Pacific Basin Financial Markets and Policies
IS - 3
M1 - 1250019
ER -