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The Asymmetry Information Effect on Bull and Bear Stock Markets

Lu Rong(Sun Yat-sen University) Xu Longbing(GF Securities Co.)  
Good news” and “bad news” have asymmetry effects on stock markets, which is important in asset pricing, portfolio and risk control. While the fact that different effects could occur in different stages are always neglected. The information effect on China's stock markets is different from that on foreign stock markets. We divide China's stock markets into “bull” and “bear” markets and detect the information effect in different stages using exponential ARCH (EGARCH) models. We then discuss the reason of the special impact from the point of investor's expectation, structure, and the market microstructure. Finally, we point out several problems for further research.
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