Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You and Your Team.

Learn More →

Information costs in financial markets: evidence from the Tunisian stock market

Information costs in financial markets: evidence from the Tunisian stock market Purpose – The purpose of this paper is to discuss a widespread idea in the financial literature: information in financial markets is free. Indeed, whenever an investor wants to intervene to purchase and/or to sell, he/she faces the need to access the information, which he/she judges to ensure an optimal decision. Design/methodology/approach – The paper uses the entropy statistics in order to estimate the information cost of the assets of the Tunisian stock market over the period extending from 2002 to 2005. Findings – The obtained results show that the information costs follow a Brownian motion. This finding lends empirical support to the theoretical position that has always been adopted in the relevant literature: in finance, as in economy, the majority of the series follow a Brownian motion. Practical implications – The proposed methodology offers investors the opportunity to estimate the information cost by taking into account the quotation probability, a simple approach that can be used not only by fund managers, but also by financial market investors. Originality/value – The paper uses entropy as a relatively new tool applied in financial theory. It offers a new understanding of information cost. The paper will be of interest for financial market investors and academics. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

Information costs in financial markets: evidence from the Tunisian stock market

Loading next page...
 
/lp/emerald-publishing/information-costs-in-financial-markets-evidence-from-the-tunisian-uVwZmS7IT3
Publisher
Emerald Publishing
Copyright
Copyright © 2010 Emerald Group Publishing Limited. All rights reserved.
ISSN
1526-5943
DOI
10.1108/15265941011071520
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this paper is to discuss a widespread idea in the financial literature: information in financial markets is free. Indeed, whenever an investor wants to intervene to purchase and/or to sell, he/she faces the need to access the information, which he/she judges to ensure an optimal decision. Design/methodology/approach – The paper uses the entropy statistics in order to estimate the information cost of the assets of the Tunisian stock market over the period extending from 2002 to 2005. Findings – The obtained results show that the information costs follow a Brownian motion. This finding lends empirical support to the theoretical position that has always been adopted in the relevant literature: in finance, as in economy, the majority of the series follow a Brownian motion. Practical implications – The proposed methodology offers investors the opportunity to estimate the information cost by taking into account the quotation probability, a simple approach that can be used not only by fund managers, but also by financial market investors. Originality/value – The paper uses entropy as a relatively new tool applied in financial theory. It offers a new understanding of information cost. The paper will be of interest for financial market investors and academics.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: Aug 17, 2010

Keywords: Information management; Cost accounting; Tunisia; Stock markets

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$499/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month