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

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.  

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

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.

scholarly journals Size Effect in Market-wide Liquidity Commonality: Evidence from the Indian Stock Market

2019 ◽  
Vol 10 (2) ◽  
pp. 335-355
Author(s):  
Namitha K. Cheriyan ◽  
Daniel Lazar
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Size Effect ◽  
Policy Maker ◽  
Trading Costs ◽  
Slope Coefficient ◽  
Liquidity Measures ◽  
The Individual ◽  
The Cost ◽  
Indian Stock Market

Liquidity commonality and the co-movements in trading costs related to such commonality have remarkable implications in market microstructure. Analyzing and identifying such commonality will enable the investor and policy maker to discover evidence regarding the inventory risks and asymmetric information in uencing individual securities’ liquidity. Thus, this study aims at documenting the liquidity commonality and measuring its extent in the Indian stock market. Employing fourteen liquidity measures a ributed to the cost, quantity, time, and multidimensional aspects of liquidity, it empirically proves the existence of co-movements among market-wide liquidity and the individual securities’ liquidity. The study also shows the presence of a size effect in liquidity commonality in Indian stock market. It is found that the slope coefficient indicating the interface between market-wide liquidity and individual securities’ liquidity generally increases with size.

scholarly journals Sources of liquidity commonality, asymmetric information and ownership structure in emerging markets: evidence from the Chinese stock market

2008 ◽  
Vol 5 (4) ◽  
pp. 233-239
Author(s):  
Xinwei Zheng
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Emerging Markets ◽  
Emerging Economies ◽  
Ownership Structure ◽  
Emerging Market ◽  
Stock Exchanges ◽  
Chinese Stock Market ◽  
Trading System ◽  
The Relationship

This study examines if common factors of liquidity can be determined by ownership structure measured by asymmetric information in an emerging market that has adopted an order-driven trading system. Using China as a case for the study, I select a broad sample of stocks from two separate Chinese stock exchanges to measure and analyse the relationship. My empirical evidence seems significant and pervasive. These findings about the Chinese stock market provide useful pointers for understanding commonality in emerging economies and shed critical light on a new dimension of the working of emerging markets

scholarly journals Asymmetric information and daily stock prices in Brazil

2020 ◽  
pp. 465-472
Author(s):  
Denis Ichimura ◽  
Raphael Videira ◽  
Alexandre Ripamonti
Keyword(s):  
Asymmetric Information ◽  
Stock Market ◽  
Stock Prices ◽  
Panel Cointegration ◽  
Future Research ◽  
Bid Ask Spread ◽  
Daily Data

This paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegration technique in order to assess the validity of asymmetric information measurements in shorter periods than in previous studies. The results indicate that asymmetric information anticipates stock prices over a period of up to two days in a theoretically consistent way. Future research may control the results via traditional finance variables.

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