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Information asymmetry, trade size, and the dynamic volume-return relation : evidence from the Australian securities exchange

Sun, Yang; Huu Nhan Duong; Singh, Harminder - In: The financial review : the official publication of the … 49 (2014) 3, pp. 539-564

Persistent link: https://www.econbiz.de/10010401374

Pre-trade transparency and the information content of the limit order book

Huu Nhan Duong; Kalev, Petko S.; Sun, Yang - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 25-50). 2014

Persistent link: https://www.econbiz.de/10010480487

Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation : Evidence from the Australian Securities Exchange

Sun, Yang - 2014

This paper investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation. We find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. We also show that the...

Persistent link: https://www.econbiz.de/10013053393