The Asymmetric information effect between the granting of credit and the change of the stock market

2021 ◽  
Vol 44 (2) ◽  
pp. 103-121
Author(s):  
Gyuhyen Moon
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Information Effect

Investor attention and market correction

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhongdong Chen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Behavior ◽  
Investor Attention ◽  
Information Effect ◽  
Content Type ◽  
Economic Significance ◽  
New Information ◽  
Positive Volume ◽  
The Impact

PurposeThis study disentangles the investor-base effect and the information effect of investor attention. The former leads to a larger investor base and higher stock returns, while the latter facilitates the dissemination of information among investors and impacts informational trading.Design/methodology/approachUsing positive volume shocks as a proxy for increased investor attention, this study evaluates the impacts of the investor-base effect and the information effect of investor attention on market correction following extreme daily returns in the US stock market from 1966 to 2018.FindingsThis study finds that the investor-base effect increases subsequent returns of both daily winner and daily loser stocks. The information effect leads to economically less significant return reversals for both the daily winner and daily loser stocks. These two effects tend to have economically more significant impacts on the daily loser stocks. The economic significance of these two effects is also related to firm size and the state of the stock market.Originality/valueThis study is the first to disentangle the investor-base effect and the information effect of increased investor attention. The evidence that the information effect facilitates the dissemination of new information and impacts stock returns contributes to the strand of studies on the impact of investor attention on market efficiency. This evidence also contributes to the strand of studies analyzing the impact of informational trading on stock returns. In addition, this study provides evidence for market overreaction and the subsequent correction. The results for up and down markets contribute to the literature on the investors' trading behavior.

Does gender diversity on boards reduce information asymmetry problems? Empirical evidence from the French market

2019 ◽  
Vol 10 (2) ◽  
pp. 144-166
Author(s):  
Nadia Loukil ◽  
Ouidad Yousfi ◽  
Raissa Wend-kuuni Yerbanga
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Gender Diversity ◽  
Market Liquidity ◽  
Idiosyncratic Volatility ◽  
Independent Directors ◽  
Corporate Boards ◽  
Content Type ◽  
Bid Ask Spread ◽  
The Impact

Purpose The purpose of this paper is to investigate the effect of female members in boards of directors on asymmetric information in the French stock market. Design/methodology/approach The authors use two proxies for asymmetric information: the idiosyncratic volatility and the bid-ask spread. This study is conducted on all listed firms in the SBF 120 index between 2002 and 2012. Findings Results show that gender diversity in boardrooms has a negative effect on the level of private information in stock markets and reduces the bid-ask spread. However, these effects are significant in family-controlled firms: female inside directors significantly increase the idiosyncratic volatility and the bid-ask spread, while female independent directors decrease both proxies for stock market liquidity. Research limitations/implications Our empirical findings contribute to the current debate on the benefits of gender diversity on corporate boards from the market perspective. It shows that, under specific conditions, financial markets could be receptive to the presence of female directors in boardrooms. Practical implications Practitioners and policymakers advocate the benefits of gender diversity on corporate boards. This paper shows that when the protection of minority shareholders is poor, the stock market is receptive to the presence of women independent directors, only in family controlled firms. This is a further argument that could help women to overcome glass-ceiling barriers they usually face to achieve top management positions. Originality/value This paper provides support for the increased attention paid to gender-diverse boards. It addresses the market sensitivity toward the presence of women members in French boardrooms and their positions. This is the first paper, to the best of our knowledge, to address how appointing women to different positions in the boardroom could provide signals to investors in the presence of asymmetric information. French firms are mostly family controlled. Thus, the findings bring valuable information of the impact of board diversity on the stock market considering family and nonfamily firms.

scholarly journals THE INFLUENCE OF ASYMMETRIC INFORMATION ON FOREIGN CAPITAL INFLOWS IN ASEAN PLUS THREE COUNTRIES

2021 ◽  
Vol 28 ◽  
Author(s):  
Raihan Ashikin Mohd Nor ◽  
Hawati Janor ◽  
Mohd Hasimi Yaacob ◽  
Noor Azuan Hashim
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Market Microstructure ◽  
Foreign Capital ◽  
Capital Inflows ◽  
Cross Sectional ◽  
Foreign Portfolio Investment ◽  
Market Transparency ◽  
Depth Analysis ◽  
Foreign Capital Inflows

This paper examines the influence of asymmetric information on foreign capital inflows in ASEAN PLUS THREE (ASEAN+3) countries. Linking capital flows to stock market setting, it substantiates other efforts concerning the debatable issues of the effect of asymmetric information on foreign direct investment (FDI) and foreign portfolio investment (FPI). The asymmetric information is captured through the stock market microstructure perspective on the width and depth dimensions using highly frequency cross sectional data from year 2000 to 2015. Roll and Amivest models are employed to quantify the width and depth aspects of the asymmetric information. Employing the panel data technique, the results demonstrate the significant effect of market transparency on foreign capital inflows specifically the FDI as compared to the FPI. An increase in the width and depth analysis based on the Amivest model signifies a high informational transparency, thus shows a lower asymmetric information which consequently leads to the high foreign capital inflows. The results of the study provide information to the policymakers in monitoring capital inflows on the aspect of market transparency and highlight the importance of the stock market microstructure in assessing the asymmetric information for ASEAN+3 countries.  

scholarly journals How the Asymmetric Information Creates Bubbles in Stock Market?

2018 ◽  
Vol 06 (08) ◽  
pp. 202-215 ◽  
Author(s):  
Haoxian Wang ◽  
Xingyuan Wang ◽  
Fan Bu ◽  
Guanzhou Wang ◽  
Yanqiao Pan
Keyword(s):  
Asymmetric Information ◽  
Stock Market

The asymmetric information and price manipulation in stock market

2007 ◽  
Vol 39 (7) ◽  
pp. 883-891 ◽  
Author(s):  
Jer-Shiou Chiou ◽  
Pei-Shan Wu ◽  
Antony W. Chang ◽  
Bor-Yi Huang
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Price Manipulation

Broker ID transparency and price impact of trades: evidence from the Korean Exchange

2015 ◽  
Vol 11 (1) ◽  
pp. 117-131 ◽  
Author(s):  
Thu Phuong Pham
Keyword(s):  
Stock Market ◽  
Private Information ◽  
Stock Exchange ◽  
Price Impact ◽  
Least Square ◽  
Market Quality ◽  
Order Book ◽  
Information Effect ◽  
Content Type ◽  
Market Depth

Purpose – The purpose of this paper is to examine the changes in the price impact of trades in the major Korean stock market following the introduction of disclosure to all traders of the top five brokers on the buy-side and the top five brokers on the sell-side of trades in real time for each stock in the KOSDAQ market. Design/methodology/approach – The paper uses several alternative metrics for the price impact of trades. The study applies estimation methodology that accounts for the potential endogeneity of other market quality proxies, which are used as control variables in price impact regressions, by utilizing two-stage-least-square methods with fixed effect specification. Findings – This study finds that the permanent price impact (information effect) of both buyer- and seller-initiated trades increases, which indicates that information is disseminated quicker in a transparent market. Uninformed trades have a larger permanent price impact than informed trades on both the buy and sell sides. The liquidity price effects are found to be mixed for buys and sells. Research limitations/implications – The study supports the current policy of the Korean Exchange to publicly display the five most active broker IDs on both the buy and sell sides, as it attracts both informed and liquidity traders, leading to faster price discovery in a more transparent market. However, a future study which analyzes the change in the market quality in both local markets would provide a complete picture of the effects of the policy. Originality/value – Earlier studies documenting the effect of broker ID disclosure on market quality used effective spreads, market depth or order book imbalance as market quality measures. This study contributes to the existing literature by examining the changes in direct measures of the private information effect and liquidity effect of trades in a stock market – the Korean Stock Exchange – when the other part of the exchange (the KOSDAQ stock market) shifts to public broker ID transparency at the same transparency level.

scholarly journals Universal banking, asymmetric information and the stock market

2017 ◽  
Vol 60 ◽  
pp. 180-193
Author(s):  
Sanjay Banerji ◽  
Parantap Basu
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Universal Banking

scholarly journals The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA

2017 ◽  
Vol 28 (75) ◽  
pp. 425-444 ◽  
Author(s):  
Leonardo Souza Siqueira ◽  
Hudson Fernandes Amaral ◽  
Laíse Ferraz Correia
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Stock Returns ◽  
Bootstrap Method ◽  
Explanatory Power ◽  
Information Risk ◽  
Portfolio Returns ◽  
Toxicity Level ◽  
Improved Performance ◽  
Probability Of Informed Trading

ABSTRACT This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

Sign in / Sign up

Export Citation Format

Share Document