Analysis of Stock Market Information Leakage by RDD

Jianing Zhu and Cunyi Yang
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Jianing Zhu: Paul Merage School of Business, University of California, Irvine, USA

Economic Analysis Letters, 2022, vol. 1, issue 1, 28-33

Abstract: Information leakage in the stock market has been widely proven. Information disclosure is sometimes uneven, and there is significant information asymmetry between ordinary investors and professional institutional investors. In this paper, Regression Discontinuity design (RDD) model is first employed to analyze the information leakage issues. Based on the daily closing stock prices of 15 capital service listed companies, we analyze the difference between the market reaction time and the disclosure time of two stamp tax policies. We found that the sample policies information may leaked to the market about two days earlier. This paper provides a new method analyzing information leakage.

Keywords: Information leakage; Stock market; Market reaction; RDD (search for similar items in EconPapers)
Date: 2022
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