Asymmetric information and market collapse: Evidence from the Chinese Market
AbstractIn this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse
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Date of creation: 29 Aug 2011
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Illiquidity Factor; Asymmetric Information; Market Collapse;
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