Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size: An Analysis of Australian Market
36 Pages Posted: 1 Dec 2010 Last revised: 5 Sep 2014
Date Written: November 30, 2010
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.
Keywords: size, Information Asymmetry, Volume, Return
JEL Classification: G10, G20, G24
Suggested Citation: Suggested Citation