Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China

Karen Jingrong Lin (), Khondkar Karim () and Clairmont Carter ()
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Karen Jingrong Lin: Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA
Khondkar Karim: Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA
Clairmont Carter: Robert J. Manning School of Business, University of Massachusetts Lowell, Lowell, MA 01854, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, vol. 17, issue 04, 1-28

Abstract: This study attempts to address two research questions on the idiosyncratic return volatility and stock price informativeness. First, whether idiosyncratic return volatility is a valid proxy for stock price informativeness in emerging markets, and if it is, whether there exists a monotonic relationship between the idiosyncratic return volatility and stock price informativeness throughout the whole sample. We find that the idiosyncratic return volatility reflects the stock price informativeness in China. However, such a relationship does not exist in a monotonic fashion. These results indicate that idiosyncratic return volatility serves as an information measure, but must be used with caution.

Keywords: Informativeness; emerging market; R2validity; idiosyncratic returns; C52; G14; G15; M21; M41 (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219091514500258

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