Asymmetric Information and Market Collapse: Evidence from the Chinese Market

Narayan, Paresh Kumar; Zheng, Xinwei

doi:10.2139/ssrn.2039894

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Asymmetric Information and Market Collapse: Evidence from the Chinese Market

Deakin University of Australia Working Paper No. 2011/09

29 Pages Posted: 6 May 2012 Last revised: 7 May 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

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.

Keywords: illiquidity factor, asymmetric information, market collapse

Suggested Citation: Suggested Citation

Narayan, Paresh Kumar and Zheng, Xinwei, Asymmetric Information and Market Collapse: Evidence from the Chinese Market (2011). Deakin University of Australia Working Paper No. 2011/09, Available at SSRN: https://ssrn.com/abstract=2039894 or http://dx.doi.org/10.2139/ssrn.2039894