Asymmetric information correlation in financial markets
Ying Jiang,
Hong Liu and
Qingshan Yang
The North American Journal of Economics and Finance, 2024, vol. 71, issue C
Abstract:
This paper investigates a market model in which the exclusive information of the insider is correlated with the information of outsiders. Our findings suggest that increasing the degree of information correlation can improve market quality, enhancing market liquidity, market efficiency, and total trading volume. Additionally, the degree of information correlation increases the profits of outsiders and noise traders but reducing the profit of the insider. These results indicate that higher degree of information correlation is beneficial to market health, especially during period of economic crisis. Therefore, we suggest that the government and regulatory institutions expand the scope of information disclosure and ensure the accuracy of information disclosed. Furthermore, the study reveals that positive correlation leads to increased trading intensity for outsiders and decreased trading intensity for the insider. In contrast, negative correlation results in more complex changes in trading intensity for both groups due to belief inconsistency and intricate psychological reactions of traders to variations in information. Additionally, we provide an empirical analysis based on data from the Chinese market to support our findings.
Keywords: Insider trading; Information correlation; Information advantages; Noise traders (search for similar items in EconPapers)
JEL-codes: C72 D43 D82 G12 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S106294082400038X
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:71:y:2024:i:c:s106294082400038x
DOI: 10.1016/j.najef.2024.102113
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().