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

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  • Yang Sun
  • Huu Nhan Duong
  • Harminder Singh

Abstract

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 effect of information asymmetry on the volume-return dynamics migrates to small-size trades in recent years, especially in larger stocks. These results are consistent with the notion that informed traders prefer medium-size trades and this preference has shifted to small-size trades. Our findings highlight the importance of incorporating informed traders’ trade-size decision in the examination of the dynamic volume-return relation.

Suggested Citation

  • Yang Sun & Huu Nhan Duong & Harminder Singh, 2014. "Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation: Evidence from the Australian Securities Exchange," The Financial Review, Eastern Finance Association, vol. 49(3), pages 539-564, August.
    • Handle: RePEc:bla:finrev:v:49:y:2014:i:3:p:539-564
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    File URL: http://hdl.handle.net/10.1111/fire.12048
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    Cited by:

    1. Van Ha Nguyen & Frank W Agbola & Bobae Choi, 2019. "Does corporate social responsibility reduce information asymmetry? Empirical evidence from Australia," Australian Journal of Management, Australian School of Business, vol. 44(2), pages 188-211, May.
    2. Hesham Abdelghany, 2015. "The effect of accounting disclosure quality and information asymmetry on the stock market activity ? an applied study on listed companies in the Egyptian stock market," Proceedings of International Academic Conferences 2704127, International Institute of Social and Economic Sciences.
    3. Nguyen, Van Ha & Choi, Bobae & Agbola, Frank W., 2020. "Corporate social responsibility and debt maturity: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).

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