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Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China

Author

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  • Karen Jingrong Lin

    (Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA)

  • Khondkar Karim

    (Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA)

  • Clairmont Carter

    (Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA)

Abstract

This study attempts to address two research questions on the idiosyncratic return volatility and stock price informativeness. First, whether idiosyncratic return volatility is a valid proxy for stock price informativeness in emerging markets, and if it is, whether there exists a monotonic relationship between the idiosyncratic return volatility and stock price informativeness throughout the whole sample. We find that the idiosyncratic return volatility reflects the stock price informativeness in China. However, such a relationship does not exist in a monotonic fashion. These results indicate that idiosyncratic return volatility serves as an information measure, but must be used with caution.

Suggested Citation

  • Karen Jingrong Lin & Khondkar Karim & Clairmont Carter, 2014. "Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-28.
    • Handle: RePEc:wsi:rpbfmp:v:17:y:2014:i:04:n:s0219091514500258
    DOI: 10.1142/S0219091514500258
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    Citations

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    Cited by:

    1. Md. Saifur Rahman & Farihana Shahari, 2019. "Does the Financial Integration in ASEAN+3 Respond to Financial Cooperation Agreement and Influence the Real Sectors?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, March.
    2. Jiao Ji & Oleksandr Talavera & Shuxing Yin, 2020. "Frequencies of board meetings on various topics and corporate governance: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 69-110, January.
    3. Yuni Pristiwati Noer Widianingsih & Doddy Setiawan & Y. Anni Aryani & Evi Gantyowati, 2022. "Accrual Management and Firm-Specific Risk," IJFS, MDPI, vol. 10(4), pages 1-12, November.
    4. Li Li Eng & Xi Tian & T. Robert Yu, 2018. "Financial Statement Analysis: Evidence from Chinese Firms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-32, December.
    5. Mohamed Rochdi Keffala, 2017. "Are Derivatives Implicated in the Recent Financial Crisis? Evidence from Banks in Emerging Countries," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-41, March.

    More about this item

    Keywords

    Informativeness; emerging market; R2validity; idiosyncratic returns; C52; G14; G15; M21; M41;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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