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Asymmetric Information and Market Collapse:Evidence from the Chinese Market
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发布日期：2011年03月09日 上次修订日期：2011年03月09日
Paresh Kumar Narayan,    paresh.narayan@deakin.edu.au Deakin University Xinwei Zheng     Deakin University Susan Sharma     Deakin University

摘要

In this paper, using data for the period January 1995 to May 2009 for the Shanghai stock exchange (SHSE), we show that aggregate illiquidity is a priced risk factor. We develop the relationship between the illiquidity factor, asymmetric information, and market collapse. Our empirical results show that while the illiquidity factor is a source of asymmetric information on the SHSE, asymmetric information does not trigger a market collapse.
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关键词：

Illiquidity Factor Asymmetric Information Market Collapse

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Paresh Kumar Narayan,; Xinwei Zheng; Susan Sharma Asymmetric Information and Market Collapse:Evidence from the Chinese Market (2011年03月09日) https://www.cfrn.com.cn/lw/13571

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