ASYMMETRIC INFORMATION: EMPIRICAL EVIDENCE FROM HO CHI MINH STOCK EXCHANGE

The study investigates many factors affecting the asymmetric information in Ho Chi Minh stock exchange. Historical prices, financial information, main shareholder in 2012 of 150 listed companies on Ho Chi Minh stock exchange are employed. The study firstly uses adverse-selection component as a proxy of information asymmetry and measures it using the bid/ask spread of two component model suggested by Glosten and Harris (1988). Secondly, the study analyzes the impact of 10 typical financial factors of listed companies and main shareholder on estimated adverse-selection component. The findings present that asymmetric information is accounted for 25.97% of bid/ask spread in Ho Chi Minh stock exchange during the studied period. Besides, regression results provide strong evidence on the correlation between 10 financial factors of firms and main shareholder with adverse-selection component. Particularly, average daily trading volume, market-to-book ratio and market value have negative relationship with adverse-selection component, whereas positive relationships are found between adverse-selection components and estimated remaining variance, standard deviation. The finding is consistent with information asymmetry theory and specific characteristic of Ho Chi Minh stock exchange in 2012.