Dynamic Relation Between Trading Volume And Return Autocorrelation Under Information Asymmetry PDF Download
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| Author | : Horace Chueh |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Dynamic Relation between Trading Volume and Return Autocorrelation Under Information Asymmetry Book in PDF, ePub and Kindle
Trading volume conveys critical information on future price changes, which are of interests to all market participants. This paper inspects trading volume with the intraday transaction data of the TAIEX futures trade on the Taiwan Futures Exchange. The results support the theory of Llorente et al. (2002). Trading days associated with a high degree of information asymmetry exhibit more return continuation on high-volume transactions and those associated with a low degree of information asymmetry demonstrate more return reversals on high-volume transactions. Time-varying analyses show that high-volume transaction creates more return continuation around the opening period of a trading day, coupled with a high degree of informed trading.
| Author | : Yang Sun |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size Book in PDF, ePub and Kindle
This study investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation in the context of Australian stock market. In particular, this paper extends current research by incorporating informed traders' trade-size preference as well as its impact on the relation between information asymmetry and volume-return dynamics into analysis. After classifying trading volume according to the size of trade, we find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. Our findings are consistent with the notion that informed traders concentrate in the trades of medium-size.
| Author | : Guillermo Llorente |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2009 |
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Download Dynamic Volume-Return Relation of Individual Stocks Book in PDF, ePub and Kindle
We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative trades tend to continue themselves. We test this theoretical prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on the NYSE and AMEX. We find that the cross-sectional variation in the relation between volume and return autocorrelation is related to the extent of informed trading in a manner consistent with the theoretical prediction.
| Author | : Hanfeng Wang |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Dynamic Volume-Volatility Relation Book in PDF, ePub and Kindle
We find that trading volume not only contributes positively to the contemporaneous volatility, as indicated in previous literature, but also contributes negatively to the subsequent volatility. And this pattern between trading volume and volatility is consistently held among individual stocks, volume-based portfolios, size-based portfolios, and market index, and among daily data and weekly data. These empirical findings tend to support that the Information-Driven-Trade (IDT) hypothesis is more pervasive and powerful in explaining trading activities in the stock market than the Liquidity-Driven-Trade (LDT) hypothesis. Our additional tests obtain three interesting findings, 1) liquidity and the degree of information asymmetry influence the relation between volume and subsequent volatility, 2) the effect of volume on subsequent volatility and volume size have a non-linear relationship, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetry when the stock price moves up and when the stock price moves down, and we attribute this asymmetry to the short-selling constraints.
| Author | : Yang Sun |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation Book in PDF, ePub and Kindle
This paper investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation. We find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. We also show that the effect of information asymmetry on the volume-return dynamics migrates to small-size trades in recent years, especially in larger stocks. These results are consistent with the notion that informed traders prefer medium-size trades and this preference has shifted to small-size trades. Our findings highlight the importance of incorporating informed traders' trade-size decision in the examination of the dynamic return-volume relation.
| Author | : Gong-meng Chen |
| Publisher | : |
| Total Pages | : |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
Download The Dynamic Relation between Stock Returns, Trading Volume, and Volatility Book in PDF, ePub and Kindle
We examine the dynamic relation between returns, volume, and volatility of stock indexes. The data come from nine national markets and cover the period from 1973 to 2000. The results show a positive correlation between trading volume and the absolute value of the stock price change. Granger causality tests demonstrate that for some countries, returns cause volume and volume causes returns. Our results indicate that trading volume contributes some information to the returns process. The results also show persistence in volatility even after we incorporate contemporaneous and lagged volume effects. The results are robust across the nine national markets.
| Author | : Leon Zolotoy |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Trading Volume, Volatility and Return Dynamics Book in PDF, ePub and Kindle
In this paper we study the dynamic relationship between trading volume, volatility, and stock returns at the international stock markets. First, we examine the role of volume and volatility in the individual stock market dynamics using a sample of ten major developed stock markets. Next, we extend our analysis to a multiple market framework, based on a large sample of cross-listed firms. Our analysis is based on both semi-nonparametric (Flexible Fourier Form) and parametric techniques. Our major findings are as follows. First, we find no evidence of the trading volume affecting the serial correlation of stock market returns, as predicted by Campbell et.al (1993) and Wang (1994). Second, the stock market volatility has a negative and statistically significant impact on the serial correlation of the stock market returns, consistent with the positive feedback trading model of Sentana and Wadhwani (1992). Third, the lagged trading volume is positively related to the stock market volatility, supporting the information flow theory. Fourth, we find the trading volume to have both an economically and statistically significant impact on the price discovery process and the co-movement between the international stock markets. Overall, these findings suggest the importance of the trading volume as an information variable.
| Author | : Hua He |
| Publisher | : |
| Total Pages | : 72 |
| Release | : 1995 |
| Genre | : Investment analysis |
| ISBN | : |
Download Differential Information and Dynamic Behavior of Stock Trading Volume Book in PDF, ePub and Kindle
This paper develops a multi-period rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors' trading reveals their private information.
| Author | : Hua Cheng |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Trading Volume, Price Autocorrelation and Volatility Under Proportional Transaction Costs Book in PDF, ePub and Kindle
We develop a dynamic model in which traders have differential information about the true value of the risky asset and trade the risky asset with proportional transaction costs. We show that without additional assumption, trading volume can not totally remove the noise in the pricing equation. However, because trading volume increases in the absolute value of noisy per capita supply change, it provides useful information on the asset fundamental value which cannot be inferred from the equilibrium price.We further investigate the relation between trading volume, price autocorrelation, return volatility and proportional transaction costs. Firstly, trading volume decreases in proportional transaction costs and the influence of proportional transaction costs decreases at the margin. Secondly, price autocorrelation can be generated by proportional transaction costs: under no transaction costs, the equilibrium prices at date 1 and 2 are not correlated; however under proportional transaction costs, they are correlated - the higher (lower) the equilibrium price at date 1, the lower (higher) the equilibrium price at date 2. Thirdly, we show that return volatility may be increasing in proportional transaction costs, which is contrary to Stiglitz 1989, Summers amp; Summers 1989's reasoning but is consistent with Umlauf 1993 and Jones amp; Seguin 1997's empirical results.
| Author | : Yaseen Alhaj-Yaseen |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Informed Trading, Information Asymmetry, and the Chinese B-Share Discount Puzzle Book in PDF, ePub and Kindle
In this study, we intend to address the question of whether local traders in the Chinese A- and B-markets are better informed than foreign traders or not? We employ a rational expectation model with heterogeneous agents in order to analyze the dynamic relationship between trading volume and stock returns' autocorrelation that can spillover between both markets. Consistent with Chan et al. (2008), we find local traders to be better informed than foreign traders in China's equity markets. At the same time, we find that the A-market was the source of all important information that determines future price movements, during the pre-liberalization period.
