Title page for etd-0523116-152204


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URN etd-0523116-152204
Author Pin-lun Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 5345 times. Download 365 times.
Department Finance
Year 2015
Semester 2
Degree Master
Type of Document
Language English
Title The Relationship between Stock Price Endogeneity and Information Asymmetry
Date of Defense 2016-06-22
Page Count 57
Keyword
  • Trading networks
  • Hawkes process
  • Information asymmetry
  • Herding
  • Abstract In this study we quantify herding behavior by using the Epidemic-Type Aftershock Sequence Model (ETAS), which can capture how much of price changes is due to endogenous feedback processes. Also, we introduce a new measure of information asymmetry. For this, we use social network analysis to calculate the eigenvector centrality of trading networks. By calculating the coefficient of variation ratio of eigenvector centrality, we can quantify the dispersion of investors’ information from its mean. We then examine the relation between herding and information asymmetry in 50 stocks during 2007-2010. Next, we examine the relation between the herding and market quality. We find evidence of less herding behavior during high information asymmetry. This result suggests that high information asymmetry may lead investors who do not have information to be reluctant to enter the market and cause liquidity to decrease, reducing herding behavior. Furthermore, we find that herding does not have effects on market quality in the whole sample, but different market values and periods have distinct results.
    Advisory Committee
  • Robin K. Chou - chair
  • Shing-Yang Hu - co-chair
  • Tai Ma - advisor
  • Files
  • etd-0523116-152204.pdf
  • Indicate in-campus at 1 year and off-campus access at 1 year.
    Date of Submission 2016-06-23

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