The Information Content Of Abnormal Trading Volume
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The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2010
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper empirically investigates how abnormal trading volume reveals new information to market participants. Trading volume is generally regarded as a good proxy for information flow and theory argues that it enhances the information set of investors. However, as yet, no research has related the presence of abnormal trading volume to firm characteristics, such as ownership and governance structure, which also has a theoretical link to information quality. I find strong excess returns around extreme trading levels, which is only moderately attributable to information disclosure. Moreover, these returns are not caused by liquidity fluctuations since prices do not reverse over the following period. In contrast, and in violation of the semi-strong form of market efficiency, there is evidence of price momentum, suggesting that traders can implement successful portfolio strategies based on the observation of current volumes. Consistent with the hypotheses presented in this study, the information content of abnormal trading volume is related to ownership characteristics, such as the level of control and the family-firm status.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2005
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
The role of abnormal trading volume on the Italian Stock Market is investigated here. According to Fama's definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect the whole firm information, so that extra trading investor's activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed traders operating on the stocks and, as a consequence, this extra trading activity might lead to future extra-returns. Some evidence following this hypothesis is found on this paper. Abnormal trading volume, associated with no new announcements, tends to predict future abnormal returns and anticipates a new information release on stock market. A profitable possible portfolio strategy based on abnormal volume signals is also proposed and analysed.
The Information Content Of Abnormal Trading Volume
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Author : Emanuele Bajo
language : en
Publisher:
Release Date : 2003
The Information Content Of Abnormal Trading Volume written by Emanuele Bajo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
An Event Study Test Of The Information Content Of Abnormal Trading Volume In The New Zealand Stock Market
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Author : Yongbo Li
language : en
Publisher:
Release Date : 2003
An Event Study Test Of The Information Content Of Abnormal Trading Volume In The New Zealand Stock Market written by Yongbo Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Stock exchanges and current events categories.
Information Content Of Trading Volume
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Author : Donald J. Gorczyca
language : en
Publisher:
Release Date : 1993
Information Content Of Trading Volume written by Donald J. Gorczyca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Stocks categories.
A State Space Modeling Of The Information Content Of Trading Volume
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Author : Khaladdin Rzayev
language : en
Publisher:
Release Date : 2019
A State Space Modeling Of The Information Content Of Trading Volume written by Khaladdin Rzayev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We propose a state-space modeling approach for decomposing trading volume into its liquidity-driven and information-driven components. Using a set of high-frequency S&P 500 stock data, we show that informed trading is linked with a reduction in volatility, illiquidity, and toxicity/adverse selection. We observe that our estimated informed trading component of volume is a statistically significant predictor of one-second stock returns; however, it is not a significant predictor of one-minute stock returns. This disparity is explained by high-frequency trading activity, which eliminates pricing inefficiencies at low latencies.
Essays On Stock Trading Volume Volatility And Information
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Author : Hanfeng Wang
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27
Essays On Stock Trading Volume Volatility And Information written by Hanfeng Wang and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.
This dissertation, "Essays on Stock Trading Volume, Volatility and Information" by Hanfeng, Wang, 王漢鋒, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled Essays on Stock Trading Volume, Volatility and Information Submitted By Hanfeng WANG For the Degree of Doctor of Philosophy at the University of Hong Kong in June 2007 We focus on three topics that relate to trading volume in stock market in this thesis. In the first essay 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. 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, indicating that at least empirically there exists a most information-intensive volume for each stock, which is consistent with Barclay and Warner (1993, JFE)'s finding, 3) the effect of volume on subsequent volatility is asymmetric when the stock price moves up and down, and we attribute this asymmetry to the short-selling constraints. 2 In the second essay we examine the price and trading volume reaction around annual earnings announcements in the Chinese A-share and B-share markets. We document a reverting pattern in the CAR series around earnings announcement in A share market while the behavior of the CAR series in B share market is quite similar to that found in developed markets. We argue that the difference may be due to that some of the A share investors overreact to the information before the earnings announcement. Additionally, abnormally high volume occurs around the earnings announcement, in both A-share and B-share markets, however, contrary to abnormally high volume several days before the announcement in B-share market, abnormally low volume exists several days prior to the announcement in A-share market. Through cross-sectional analysis we find that abnormal trading volume on the announcement day, taken as an index of the surprise of earnings announcement, and the responsiveness of the market are positively correlated, and that the average return before the announcement is negatively correlated with the CAR after the announcement, which supports the A-share investors' overreaction to earnings announcement. We also find some evidence that A-share investors tend to be influenced by the market conditions. In the third essay we review the literature on herding behavior in financial market and build a new empirical model based on stock trading volume to detect the overall market herding behavior. With the model we find that in the Chinese stock market there is herding when the market moves up and there is no or little evidence of herding when the market moves down. For comparison we also extend the test to other international markets. Based on the empirical results we document with the Chinese market data we suggest canceling t
Expectations And The Structure Of Share Prices
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Author : John G. Cragg
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
Expectations And The Structure Of Share Prices written by John G. Cragg and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
Information Trading And Product Market Interactions
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Author : Heather Elise Tookes
language : en
Publisher:
Release Date : 2003
Information Trading And Product Market Interactions written by Heather Elise Tookes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Information Trading Volume And International Stock Market Comovements
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Author : Louis Gagnon
language : en
Publisher:
Release Date : 2010
Information Trading Volume And International Stock Market Comovements written by Louis Gagnon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return quot;spilloversquot; are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
