Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market

Yingyi Hu and Jean-Luc Prigent

Economic Modelling, 2019, vol. 80, issue C, 11-22

Abstract: This study investigates the effect of asymmetry information and illiquidity related to cluster trading on information integration efficiency in the Chinese stock market. The results show that information asymmetry and illiquidity related to cluster trading both negatively affect market efficiency in the Chinese stock market. While the effect of information asymmetry on market efficiency dominates in the informational period, the effect of illiquidity related to cluster trading dominates in other periods, when trading is less concentrated. Noise trading has a positive effect on market efficiency by greatly reducing the illiquidity related to cluster trading; however, its effect on information asymmetry is not significant. Our results provide insight into investors’ trading strategies.

Keywords: Order imbalance; Speculative noise trading; Trading costs (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (6)

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Working Paper: Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:80:y:2019:i:c:p:11-22

DOI: 10.1016/j.econmod.2018.04.001

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