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Asymmetric Information and Market Decline: Evidence from the Chinese Market

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  • Paresh Kumar Narayan

    ()
    (Financial Econometrics Group, School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, 70, Elgar Road, Burwood Highway, Burwood, Victoria 3125, Australia)

  • Xinwei Zheng

    (Deakin University, Australia)

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.

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Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

Volume (Year): 15 (2012)
Issue (Month): 03 ()
Pages: 1250019-1-1250019-17

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Handle: RePEc:wsi:rpbfmp:v:15:y:2012:i:03:p:1250019-1-1250019-17

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Related research

Keywords: Illiquidity factor; asymmetric information; market decline;

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References

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