Multifractal Analysis of the Relationship Between Information Asymmetry and Liquidity in China
Xin Zhong (Zhejiang Lab)
大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第141回
Multifractal Analysis of the Relationship Between Information Asymmetry and Liquidity in China
Xin Zhong (Zhejiang Lab)
This study examines the dynamic relationship between information asymmetry and liquidity in Chinese stock markets. Two liquidity proxies and the Volume-Synchronized Probability of Informed Trading (VPIN) are used in this study. The Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) model is implemented to gauge the relationship between the proxies. The result confirms the multifractal nature of the cross-correlation between information asymmetry and liquidity in the Chinese market. Specifically, after the upgrade of the trading system in 2009, the multifractal strength of the cross-correlation between information asymmetry and liquidity was significantly drop. Furthermore, prior to the upgrade of the trading system, significant fluctuations in market price impact were predominantly attributable to it cross-correlation with information asymmetry. After the system upgrade in 2009, the impact of individual behaviors on fluctuations became more pronounced. With respect to the trading cost, it cross-correlation with information asymmetry assumed a central role as the key driver of notable fluctuations throughout the sample period, although the difference between the influence caused by autocorrelation and that caused by cross-correlation narrowed after the trading system upgrade.
| 講師： | Xin Zhong (Zhejiang Lab) |
|---|---|
| テーマ： | 大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第141回 |
| 日時： | 2023年12月19日(火) 16:50-18:20 |
| 場所： | 大阪大学豊中キャンパス法経研究棟5階 505セミナー室 |
| 参加費： | 無料 |
| 参加方法： | |
| アクセス： | 会場までのアクセスは下記URLをご参照ください。 https://www.econ.osaka-u.ac.jp/access/ |
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