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Analysis of Stock Market Information Leakage by RDD

Author

Listed:
  • Jianing Zhu

    (Paul Merage School of Business, University of California, Irvine, USA)

  • Cunyi Yang

    (Lingnan College, Sun Yat-Sen University, Guangzhou, China)

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.

Suggested Citation

  • Jianing Zhu & Cunyi Yang, 2022. "Analysis of Stock Market Information Leakage by RDD," Economic Analysis Letters, Anser Press, vol. 1(1), pages 28-33, September.
    • Handle: RePEc:bba:j00004:v:1:y:2022:i:1:p:28-33:d:67
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    References listed on IDEAS

    as
    1. Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
    2. Sebastian Calonico & Matias D. Cattaneo & Rocío Titiunik, 2015. "Optimal Data-Driven Regression Discontinuity Plots," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1753-1769, December.
    3. Tai-Young Kim, 2019. "Effect of pre-disclosure information leakage by block traders," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 20(5), pages 470-483, October.
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