How does informed trading affect the information environment? Looking at the Chinese stock market from the perspective of the speed of information integration

Yingyi Hu

International Finance, 2018, vol. 21, issue 3, 316-332

Abstract: This paper investigates the informational environment of the Chinese stock market from the perspective of the integration speed for firm‐specific information and market‐wide information. Our empirical evidence shows that, while informed trading increases the integration speed for firm‐specific information as information asymmetry dissipates over time, the trading costs related to information asymmetry that results from informed trading on firm‐specific information negatively affect the integration speed for market‐wide information. This study provides evidence on the interaction between different information sets and could be generalized to, and has strong empirical implications for, other emerging markets that have more significant problems with information asymmetry.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bla:intfin:v:21:y:2018:i:3:p:316-332

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