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Impact of Information Disclosure on Prices, Volume, and Market Volatility: An Experimental Approach

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  • Yang Zhang
  • Hong Zhang
  • Michael J. Seiler

Abstract

This study integrates experimental design with econometric techniques to examine the impact of information disclosure on trading prices, trading volume, and market volatility. Using a double auction model, we find that as information disclosure increases, trading prices and trading volume remain the same. However, the volatility in the marketplace is significantly reduced. This overall market efficiency gain is robust to a number of different efficiency metrics.

Suggested Citation

  • Yang Zhang & Hong Zhang & Michael J. Seiler, 2015. "Impact of Information Disclosure on Prices, Volume, and Market Volatility: An Experimental Approach," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 16(1), pages 12-19, January.
    • Handle: RePEc:taf:hbhfxx:v:16:y:2015:i:1:p:12-19
    DOI: 10.1080/15427560.2015.1000333
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    Cited by:

    1. Thaker A. Syaeid, 2019. "The Effect of the Reliability of Accounting Information Systems on Electronic Disclosures on the Stock Prices: Applied Study on Industrial Companies Listed on Amman Stock Exchange," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(8), pages 1-14, August.
    2. Rupali Misra & Sumita Srivastava & D. K. Banwet, 2019. "Are type B investors efficacious? Exploring role of personality in ambidextrous investment decision-making," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(1), pages 27-34, March.
    3. Ho, Kung-Cheng & Yang, Lu & Luo, Sijia, 2022. "Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market," Journal of Business Research, Elsevier, vol. 140(C), pages 638-656.
    4. Gong, Cynthia M. & Lizieri, Colin & Bao, Helen X.H., 2019. "“Smarter information, smarter consumers”? Insights into the housing market," Journal of Business Research, Elsevier, vol. 97(C), pages 51-64.

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