WANG Chun-feng, LU Tao, FANG Zhen-ming. Research on the Intraday Volatility of Chinese Stock Market Conditional on Asymmetric Information[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2007, 20(2): 10-13.
Citation:
WANG Chun-feng, LU Tao, FANG Zhen-ming. Research on the Intraday Volatility of Chinese Stock Market Conditional on Asymmetric Information[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2007, 20(2): 10-13.
WANG Chun-feng, LU Tao, FANG Zhen-ming. Research on the Intraday Volatility of Chinese Stock Market Conditional on Asymmetric Information[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2007, 20(2): 10-13.
Citation:
WANG Chun-feng, LU Tao, FANG Zhen-ming. Research on the Intraday Volatility of Chinese Stock Market Conditional on Asymmetric Information[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2007, 20(2): 10-13.
Based on the information model of order-driven market, the intraday characteris tics of the volatility of Chinese stock market are studied from the viewpoint of asymmetric information. The results show that the L intraday pattern of return volatility of stock market is caused by asymmetric information, public informati on and liquidity cost. The higher the market value of stocks, the lower the effe ct of asymmetric information and public information on price volatility.
Madhavan A, Richardson M, Roomans M. Why Do Security Prices Change A Tr ansaction Level Analysis of NYSE Stocks[J]. Review of Financial Study,1997,(1 0):1035-1064.
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