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

• Authors: Kliber Paweł , Garsztka Przemysław
• Languages of publication: PL EN

Abstracts

EN

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.

Keywords

EN

information asymmetry; liquidity; stocks; panel regression

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Year: 2018
• Issue: 519
• Pages: 122-134

Contributors

author

Kliber Paweł

author

Garsztka Przemysław