The level of asymmetric information: Evidence from listed Firms on Ho Chi Minh City Stock exchange

Abstract

This study aims to investigate the levelof asymmetric information proxied by the Adverse Selection Component (ASC) in HCMC Stock Market during the period from December 1st, 2012 to May 31th, 2013. Using quantitative methods and three models of Glosten andHarris(1988); Lin, Sanger andBooth(1995); and Kim and Ogden (1996), the main results of this study show thatASC in HCMC Stock Market is in the range 69% to 77% Bid-Ask Spread. Compared with the results of previous studies, ASC decreases in HCMC Stock Market, but compared to foreign stockmarket, ASC is at a higher level.

Keywords

• thông tin bất cân xứng
• lựa chọn ngược
• chênh lệch giá đặt mua và giá đặt bán.