Open Access Journal Article

Analysis of Stock Market Information Leakage by RDD

by Jianing Zhu a orcid  and  Cunyi Yang b,* orcid
a
Paul Merage School of Business, University of California, Irvine, USA
b
Lingnan College, Sun Yat-Sen University, Guangzhou, China
*
Author to whom correspondence should be addressed.
EAL  2022 1(1):5; https://doi.org/10.58567/eal01010005
Received: 11 August 2022 / Accepted: 13 September 2022 / Published Online: 15 September 2022
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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.

Keywords: Information leakage; Stock market; Market reaction; RDD;
Copyright: © 2022 by Zhu and Yang. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Zhu, J.; Yang, C. Analysis of Stock Market Information Leakage by RDD. Economic Analysis Letters, 2022, 1, 5. https://doi.org/10.58567/eal01010005
AMA Style
Zhu J, Yang C. Analysis of Stock Market Information Leakage by RDD. Economic Analysis Letters; 2022, 1(1):5. https://doi.org/10.58567/eal01010005
Chicago/Turabian Style
Zhu, Jianing; Yang, Cunyi 2022. "Analysis of Stock Market Information Leakage by RDD" Economic Analysis Letters 1, no.1:5. https://doi.org/10.58567/eal01010005
APA style
Zhu, J., & Yang, C. (2022). Analysis of Stock Market Information Leakage by RDD. Economic Analysis Letters, 1(1), 5. https://doi.org/10.58567/eal01010005

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