Asymmetric Information and Market Decline: Evidence from the Chinese Market

Paresh Kumar Narayan () and Xinwei Zheng
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Paresh Kumar Narayan: Financial Econometrics Group, School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, 70, Elgar Road, Burwood Highway, Burwood, Victoria 3125, Australia
Xinwei Zheng: Deakin University, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2012, vol. 15, issue 03, 1-17

Abstract: In this paper, we show that aggregate illiquidity is a priced risk factor on the Shanghai Stock Exchange (SHSE). We develop the relationship between the illiquidity factor, asymmetric information, and market decline. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger market decline.

Keywords: Illiquidity factor; asymmetric information; market decline (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219091512500191

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