Informed trade on the Chinese Stock Market: An empirical investigation

This paper presents new evidence on information asymmetries in a pure order-driven stock market. Using the trade data from the Chinese Stock Market (CSM), we employ the VAR model proposed by Hasbrouck (1991a, b) to analyze the information content of trades, and find that there is a lag for the private information completely impounding into the stock price. In addition, as the finding of numerous earlier studies, our results imply that trade information appears to be larger for stocks with smaller market value and infrequently traded. Finally, comparing with previous findings, we find that there is a larger amount of asymmetric information on the CSM.