Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size

Download or read book Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size written by Yang Sun and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.