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Asymmetric information and market collapse: Evidence from the Chinese Market

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  • Paresh Kumar Narayan

    ()

  • Xinwei Zheng

    ()

Abstract

In 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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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2011_09.pdf
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Bibliographic Info

Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2011_09.

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Length: 29
Date of creation: 29 Aug 2011
Date of revision:
Handle: RePEc:dkn:ecomet:fe_2011_09

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Keywords: Illiquidity Factor; Asymmetric Information; Market Collapse;

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References

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