Dynamic Relation between Trading Volume and Return Autocorrelation under Information Asymmetry: Empirical Evidence from Futures Markets

Autor:	Andy Chien, Horace Chueh, Der-Yuan Yang
Rok vydání:	2004
Předmět:	Alternative trading system Information asymmetry Open outcry Financial economics Economics Algorithmic trading High-frequency trading computer.software_genre computer Transaction data Database transaction Futures contract
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.725665
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::55a658bd315b97ae1dc1f4c2a043e1a6 https://doi.org/10.2139/ssrn.725665 Zobrazit plný text záznamu