Narayan, Paresh Kumar; Zheng, Xinwei - Deakin University, Faculty of Business and Law, School … - 2010
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...