Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market

Hu, Yingyi; Prigent, Jean‐Luc

doi:10.1016/j.econmod.2018.04.001

Cited by 14 publications

(7 citation statements)

References 55 publications

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“…Another recent study also concluded the same finding: that trust and risk factors are the key determinants of IST in developing economies (Khan et al, 2020). Earlier research revealed a significant relationship of perceived information asymmetry with IT adoption intentions and stock market participation (Yang et al, 2015;Hu and Prigent, 2019).…”

Section: Internet Stock Tradingmentioning

confidence: 61%

Understanding uncertainty dimensions and Internet stock trading service in China from a social cognitive perspective

Khan

Liu

et al. 2020

ITP

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PurposeThis paper investigates the effects of different uncertainties on Internet stock trading (IST) adoption intentions of individual investors in China and aims to determine the interaction effects of trust and perceived benefits in the relationship between uncertainty dimensions and IST adoption intentions.Design/methodology/approachUsing a structured questionnaire, a survey of 353 experienced stock traders was conducted in China. The proposed uncertainty-trust-perceived benefits framework was examined through structural equation modelling using Smart PLS 3.0.FindingsThe study found significant negative effects of perceived technology uncertainty, perceived regulatory uncertainty and perceived information asymmetry on the IST adoption intentions of individual investors. Perceived service intangibility was found to have only insignificant effects on IST adoption intentions. In terms of interaction results, trust significantly moderates the relationship between IST adoption intentions and, respectively, perceived technology uncertainty and perceived information asymmetry. Similarly, perceived benefits significantly moderate the relationship between intentions to adopt IST and both perceived technology uncertainty and perceived regulatory uncertainty.Practical implicationsThe regulators for IST development in China could utilise the results of this study as guidelines for strategies to increase the use of IST among existing and potential investors.Originality/valueUsing social cognitive theory, this research investigates the effects of various uncertainties on IST adoption intentions of individual investors in China; these effects have not been explored by previous literature. Furthermore, few studies other than this one have investigated the interaction effects of factors which counteract the negative effect of other factors.

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Section: Internet Stock Tradingmentioning

confidence: 61%

Understanding uncertainty dimensions and Internet stock trading service in China from a social cognitive perspective

Khan

Liu

et al. 2020

ITP

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“…Using the runs test and serial correlation coefficient to examine the weak‐form market efficiency of stock indices of five developed and 10 emerging Asian markets, Worthington and Higgs (2006) find no evidence of market inefficiency for the emerging stock markets. Hu and Prigent (2019) make consideration for the influencing role of information asymmetry on stock market efficiency, and they reveal that asymmetry in market information and illiquidity resulting from cluster trading impose an adverse effect on the Chinese stock market efficiency. They additionally disclose that there is a dominance of the effect of information asymmetry during the informational period, while the effect of illiquidity is prominent in other periods when trading has a lower concentration.…”

Section: Review Of Literaturementioning

confidence: 99%

“…Consequently, this has resulted in the emergence of its stock markets. To confirm this, while the Chinese stock market has claimed significant high gain over 25 years (see Hu & Prigent, 2019), Kim et al (2014) disclose that the Asian stock markets have been exhibiting varying and interesting degrees of maturity and development over time. The region has also been said to be attracting huge capital inflows from foreign sources, with Singapore developing into a global financial focal point, especially in terms of financial and banking services (see Rizvi & Arshad, 2016).…”

Section: Introductionmentioning

confidence: 99%

“…For instance, the Chinese stock market has been adjudged to be faced with complex nonlinear features (see Han, Wang, & Xu, 2019) and multi‐level market dynamics since the 1990s (see Han, Wang, & Ning, 2019). Besides, the sensitivity of their efficiency to information asymmetry and financial crises, which frequently occur either within the market or from exogenous sources, seems to be high (see Hu & Prigent, 2019). While the nonlinear movement could be caused by the presence of structural breaks along the time path, the information asymmetry and financial crises could in turn lead to significant structural shifts in the stock indices.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Stock Market Efficiency in Asia: Evidence from the Narayan–Liu–Westerlund's GARCH‐based unit root test

Yaya

Adekoya

et al. 2022

Int. J Fin Econ

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Stock market integration with efficiency is important in finance. This study therefore analyses the stock market efficiency in Vietnam and other Asian countries by using the recently developed Generalized Autoregressive Conditional Heteroscedasticity (GARCH)‐based unit root test of Narayan et al. to examine the stock market efficiency of Vietnam and other 18 Asian countries, using daily prices. Particularly, we examine weather stock market prices in these countries reflects all available information. The model flexibly accounts for heteroskedasticity and two structural breaks, the presence of which can lead to inaccurate results if neglected. Our results disclose the stock markets of 14 countries as inefficient following the rejection of the unit root null hypothesis. However, the stock markets of China, Hong Kong, Japan, and the Korea Republic are adjudged efficient. We further extend the model to accommodate a maximum of five breaks to check the robustness of our results to higher breaks. We observe that the results are largely consistent except for Lebanon and Singapore. For completeness, we compare the results with those of conventional GARCH models that do not account for structural breaks and discover differing results for some countries. Hence, the role of structural breaks is not negligible in assessing market efficiency. Future studies should also incorporate heteroskedasticity and structural breaks in their modelling framework to obtain accurate results.

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“…Due to factors such as information asymmetry, the professionalism of investors, and differences in investment goals [44,45], bounded rational investors are less likely to make optimal decisions only by observing the current stock market conditions. Experience is the easiest way to judge the feasibility of investment decisions.…”

Section: Evolutionary Mechanism Of Investor Behaviormentioning

confidence: 99%

A Model for Evolution of Investors Behavior in Stock Market Based on Reinforcement Learning in Network

et al. 2020

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This paper builds an evolution model of investors behavior based on the reinforcement learning in multiplex networks. Due to the heterogeneity of learning characteristics of bounded rational investors in investment decisions, we consider, respectively, the evolution mechanism of individual investors and institutional investors on the complex network theory and reinforcement learning theory. We perform mathematical analysis and simulation to further explain the evolution characteristics of investors behavior. The conclusions are drawn as follows: First, the intensity of returns competition among institutional investors and the forgetting effect both have an impact on the equilibrium of their evolution as to all institutional investors and individual investors. Second, the network topology significantly affects the behavioral evolution of individual investors compared with institutional investors.

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Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market

Cited by 14 publications

References 55 publications

Understanding uncertainty dimensions and Internet stock trading service in China from a social cognitive perspective

Understanding uncertainty dimensions and Internet stock trading service in China from a social cognitive perspective

Stock Market Efficiency in Asia: Evidence from the Narayan–Liu–Westerlund's GARCH‐based unit root test

A Model for Evolution of Investors Behavior in Stock Market Based on Reinforcement Learning in Network

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