Asymmetric Information and Market Collapse
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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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Economics Series with number 2010_07.
Date of creation: 16 Jul 2010
Date of revision:
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Illiquidity Factor; Asymmetric Information; Market Collapse.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-CTA-2010-07-24 (Contract Theory & Applications)
- NEP-FMK-2010-07-24 (Financial Markets)
- NEP-RMG-2010-07-24 (Risk Management)
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