The Information Transmission Effect and Asset Prices: Evidence from the China B-Share Discount |
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| Authors: | Szu-Lang Liao Tsung-Ying Tsai |
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| Institution: | 1. Department of Money and Banking, National Chengchi University, Taipei City, Taiwan99352505@nccu.edu.tw;3. Department of Money and Banking, National Chengchi University, Taipei City, Taiwan |
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| Abstract: | ABSTRACTWe construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China. The data on foreign share discounts raise a question: How are asset prices determined if uninformed foreign traders obtain signals by observing public information? Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission effect plays a critical role in explaining how foreign share discounts become more contractive. |
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| Keywords: | information asymmetry information transmission asset pricing market microstructure stock market |
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