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...

The study examines the behavior of stock returns and volatility of returns in CSE around both Presidential and Parliamentary elections. Based on daily data during the sample period January 1985 through September 2009, a univariate GARCH model with return and volatility dummies is employed for...

This study examines the impact of terrorism on stock returns and volatility from an econometric perspective. Taking daily returns within the sample period May 1985-January 2007, the relevant hypotheses are tested in the context of the Colombo Stock Exchange. A GARCH specification is used to...

We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some -- but not all -- domestic stocks, without affecting the short-selling ability...

This paper examines the role of retail investor trading activity on stock price momentum. We find that there is little evidence of momentum for stocks traded on the Singapore Exchange (SGX) unconditionally and momentum is concentrated in stocks with high market capitalization and high nominal...