Information asymmetry, speculation and foreign trading activity: Emerging market evidence

Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange

“…During this period the estimated time-varying Hurst exponent departs from convergence to market efficiency towards long memory and persistence. In this period the international stock market crisis led major international institutional investors to sell and flee the Athens stock exchange, a move that led according to the findings of Ciner and Karagozoglu (2008) to herding behavior by local market participants that perceive foreign investors as possessing asymmetric information. The reduced efficiency in this part of our sample is consistent with Garas and Argyrakis (2007), that find that correlations between stocks during a crisis period become stronger as all stocks move together with the market, thus implying lower efficiency.…”

“…An interesting paper is that of Odabasi, Aksu, and Akgiray (2004), that have shown that the Turkish stock exchange has become more efficient over time using both parametric and non-parametric tests. Ciner and Karagozoglu (2008) studying the same exchange over the period 1998-2003, find that proxies used for informational asymmetry have explanatory power in terms of speculative trading. They argue that foreign traders may have an informational advantage due to better access to expertise and talent, and local market participants accentuate the impact of their trades improving market efficiency.…”

Does stock ownership impact liquidity and dividends?

“…However, little attention has been devoted to examining the free float-liquidity relation. Ciner and Karagozoglu (2008) and Ding et al (2016) argue that firms with more shares in free float can alleviate information asymmetry problems, which, in turn, can enhance liquidity. This study examines the relationship between liquidity and free float using a sample of 15,650 firm-level observations in the UK stock market (FTSE 100 Index constituents) over the period from May 2002 to December 2016.…”

“…This can lower stock liquidity as market makers are forced to increase bid-ask spreads in the presence of insiders (Glosten & Milgrom, 1985;Heflin & Shaw, 2000;Jacoby & Zheng, 2010). A number of studies including Ciner and Karagozoglu (2008) and Ding et al (2016) suggest that firms with more shares in free float can alleviate information asymmetry problems. This study hypothesizes that stock liquidity rises (falls) with increased levels of free float (institutional ownership).…”

Informed trading and liquidity in the Shanghai Stock Exchange

“…For example, both Lamoureux and Lastrapes (1990) and Bohl and Henke (2003) find that augmenting the variance function with trading volume for an individual stock removes evidence of GARCH effects; Hodgson, Masih and Masih (2006) use futures trading volume as a determinant of prices in different momentum phases for trading; and Ciner and Karagozoglu (2008) find evidence of informed trading from volume-return dynamics. Therefore, since the dynamics of informed trading is likely to differ from those of liquidity trading, a nonlinear relationship dependent on the level of trading volume is considered.…”