| Journal of Economics and Management Volume 17, No. 1 March, 2021 |
| The Relationship between Information Asymmetry and Abnormal Returns: A Study of Individual Investors and Institutional Investors |
| Shyh-Weir Tzang |
| Department of Finance, Asia University, Taiwan |
| Yung-Shun Tsai |
| Department of Finance, Asia University, Taiwan |
| Chun-Ping Chang |
| Department of Finance, Asia University, Taiwan |
| Yu-Jun Zhang |
| Department of Finance, Asia University, Taiwan |
| Abstract |
| The information asymmetry exists in stock market because individual investors are usually less capable of obtaining information from listed companies than institutional investors. In general, if institutional investors held a large share in one company, the disclosure should be better. In this study, our sample is grouped by the share ratio of individual investors and institutional investors, and we exam the relationship between abnormal returns and information asymmetry in a different group. We also exam the correlation among information asymmetry, market return, and turnover. This paper adopts VAR and other models to exam the listed stock market samples in Taiwan from 2006 to 2019. Empirical results are as follows: (1) the stock market in Taiwan exist long-run and short-run abnormal returns; (2) the abnormal returns are not significantly different between a company with a large share of individual investors and a company with a large share of institutional investors; (3) when the stocks with significant changes in shareholdings, their long-run abnormal returns will significantly greater than the short-run abnormal returns,; (4) by considering the factors affecting information asymmetry during shocks, turnover is the major factor, market returns the second, and the shareholding of institutional investors and individual investors the last; abnormal returns effect is not sure. In addition to the shareholding of institutional investors and individual investors, all factors link to the information asymmetry have positive correlations. |
| Keywords：Information Asymmetry, Abnormal Return, Individual Investors, Institutional Investors. |
| JEL Classifications：G14. |
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