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Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount
Chan, Kalok; Menkveld, Albert J.; Yang, Zhishu - VU University Amsterdam, Faculty of Economics, Business … - 2006
We examine the effect of information asymmetry on equity prices in the local A- and foreign Bshare market in China. We … construct measures of information asymmetry based on market microstructure models, and find that they explain a significant …
Persistent link: https://www.econbiz.de/10005150440
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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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Bank loan information and information asymmetry in the stock market : evidence from China
Ye, Yanyi; Wang, Yun; Yang, Xiaoguang - In: Financial innovation : FIN 8 (2022), pp. 1-28
In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and bank loans of all publicly listed firms on the...
Persistent link: https://www.econbiz.de/10013272640
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Information Asymmetry, Price Discovery, and the Chinese B-Share Discount Puzzle
Doukas, John A. - 2015
This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon Chinese stock market liberalization reforms in 2001 and 2002. In contrast with the widespread notion that domestic investors are...
Persistent link: https://www.econbiz.de/10013039027
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Information-based trade in the Shanghai stock market
Copeland, Laurence S.; Wong, Woon K.; Zeng, Yong - In: Global finance journal 20 (2009) 2, pp. 180-190
Persistent link: https://www.econbiz.de/10003877954
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Information-Based Trading in China's Option Markets
Wang, Yan; Zhou, Xin - 2021
We study China's flagship option market, Shanghai Stock Exchange (SSE) 50 ETF option market, and the information …
Persistent link: https://www.econbiz.de/10014359282
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Information asymmetry, price discovery, and the Chinese B-share discount puzzle
Doukas, John A.; Wang, Liu - In: Pacific-Basin Finance Journal 21 (2013) 1, pp. 1116-1135
This paper addresses the information asymmetry between Chinese local A-share and foreign B-share markets and its impact on the B-share discount puzzle, contingent upon Chinese stock market liberalization reforms in 2001 and 2002. In contrast with the widespread notion that domestic investors are...
Persistent link: https://www.econbiz.de/10010594365
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¿Influyen los tigres asiáticos en el comportamiento gregario español?
Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra - In: El Trimestre Económico LXXVII (2) (2010) 306, pp. 423-444
The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis did not affect herding intensity to the same extent...
Persistent link: https://www.econbiz.de/10008559995
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Explaining the bid-ask spread in the foreign exchange market: A test of alternate models
Treepongkaruna, Sirimon; Brailsford, Tim; Gray, Stephen - In: Australian Journal of Management 39 (2014) 4, pp. 573-591
This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang–Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger...
Persistent link: https://www.econbiz.de/10011135774
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The Pricing Effects of Ambiguous Private Information
Condie, Scott - 2017
When private information is observed by ambiguity averse investors, asset prices may be informationally inefficient in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed investors require a premium to hold assets and higher return volatility relative to...
Persistent link: https://www.econbiz.de/10012974949