Analysis of Stock Market Information Leakage by RDD

Authors

DOI:

https://doi.org/10.58567/eal01010005

Keywords:

Information leakage, Stock market, Market reaction, RDD

Abstract

Information leakage in the stock market has been widely proven. Information disclosure is sometimes uneven, and there is significant information asymmetry between ordinary investors and professional institutional investors. In this paper, Regression Discontinuity design (RDD) model is first employed to analyze the information leakage issues. Based on the daily closing stock prices of 15 capital service listed companies, we analyze the difference between the market reaction time and the disclosure time of two stamp tax policies. We found that the sample policies information may leaked to the market about two days earlier. This paper provides a new method analyzing information leakage.

References

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Published

2022-09-15

How to Cite

Zhu, J., & Yang, C. (2022). Analysis of Stock Market Information Leakage by RDD. Economic Analysis Letters, 1(1), 28–33. https://doi.org/10.58567/eal01010005

Issue

Vol. 1 No. 1 (2022)

Section

Article

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Copyright (c) 2022 Jianing Zhu, Cunyi Yang

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This work is licensed under a Creative Commons Attribution 4.0 International License.