INFORMATION ASYMMETRY, LIQUIDITY AND THE DYNAMIC VOLUME-RETURN RELATION IN PANEL DATA ANALYSIS Cover Image

INFORMATION ASYMMETRY, LIQUIDITY AND THE DYNAMIC VOLUME-RETURN RELATION IN PANEL DATA ANALYSIS
INFORMATION ASYMMETRY, LIQUIDITY AND THE DYNAMIC VOLUME-RETURN RELATION IN PANEL DATA ANALYSIS

Author(s): Paweł Kliber, Przemysław Garsztka
Subject(s): Business Economy / Management, Evaluation research, Financial Markets
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: information asymmetry; liquidity; stocks; panel regression;

Summary/Abstract: In the paper we investigate the dynamic relation between returns and volume of individual stocks traded on the Warsaw Stock Exchange. Theoretical models suggest that this relation reveals the information asymmetry in the market and the role of private information. Unlike other works, we use dynamic regression to obtain the coefficients for 52 stocks, assuming that coefficients for individual stock can vary from month to month. Then we use panel regression with random effects to test the relationship between coefficient of information asymmetry and liquidity. We find an evidence supporting the compliance of measure of information asymmetry, especially for medium and small capitalization companies.

  • Issue Year: 2018
  • Issue No: 519
  • Page Range: 122-134
  • Page Count: 13
  • Language: English
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