TESTING AND MEASUREMENT OF ASYMMETRIC INFORMATION: EMPIRICAL EVIDENCE FROM COMPANIES LISTED ON THE HO CHI MINH CITY STOCK EXCHANGE

Proceedings the Second International Conference on Student Research 2023 (2023)
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Abstract

A failed market, or asymmetric information, is a well-known economic concept. This phenomenon can be witnessed in a variety of markets. However, the repercussions of information asymmetry are thought to be more substantial in the stock market. Because, in addition to measurable economic impact, knowledge asymmetry harms trust. The Vietnamese stock market has experienced several successes since its creation, yet it still has many restrictions typical of a young market. The numerous violations of the subjects on the market in recent years reflect those restrictions. Information issues, or more broadly, information asymmetry, are primarily responsible for these errors. The goal of this study was to analyze and assess the degree of information asymmetry in the Vietnamese stock market during a five-year period (2018 – 2022). The author tests the information asymmetry effect using GARCH models for VN-Index data and measures Adverse Selection Component (ASC) using the Glosten & Harris model for the 100 largest capitalization companies on the Ho Chi Minh City Stock Exchange (HOSE). The findings demonstrate information asymmetry, and the ASC value for the entire study period is 89.53%. This empirical finding serves as the foundation for formulating suitable policy recommendations for every market participant, aiding in the growth of a productive, equitable, open, and transparent Vietnamese stock market.

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