Title:

Information asymmetry, liquidity and the dynamic volume-return relation in panel data analysis

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

Research Papers of Wrocław University of Economics

Creator:

Kliber, Paweł ; Garsztka, Przemysław

Subject and Keywords:

information asymmetry ; liquidity ; stocks ; panel regression ; asymetria informacyjna ; płynność ; akcje ; regresja panelowa

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2018, Nr 519, s. 122-134

Abstrakt:

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

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2018.519.10

Language:

eng

Relation:

Wrocław Conference in Finance: Contemporary Trends and Challenges ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2018; Nr 519

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu