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

See all articles by Yang Sun

Yang Sun

School of Accounting, Economics and Finance, Deakin University

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Harminder Singh

Deakin University - School of Accounting, Economics and Finance

Date Written: November 30, 2010

Abstract

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

Sun, Yang and Duong, Huu Nhan and Singh, Harminder, Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size: An Analysis of Australian Market (November 30, 2010). Finance and Corporate Governance Conference 2011 Paper. Available at SSRN: https://ssrn.com/abstract=1717341 or http://dx.doi.org/10.2139/ssrn.1717341

Yang Sun

School of Accounting, Economics and Finance, Deakin University ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Huu Nhan Duong (Contact Author)

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Harminder Singh

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

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