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Asymmetric information and market collapse: Evidence from the Chinese Market


  • Paresh Kumar Narayan


  • Xinwei Zheng



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

Suggested Citation

  • Paresh Kumar Narayan & Xinwei Zheng, 2011. "Asymmetric information and market collapse: Evidence from the Chinese Market," Financial Econometics Series 2011_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  • Handle: RePEc:dkn:ecomet:fe_2011_09

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    Illiquidity Factor; Asymmetric Information; Market Collapse;

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