IDEAS home Printed from https://ideas.repec.org/a/kap/rqfnac/v17y2001i4p327-50.html
   My bibliography  Save this article

Empirical Identification of Non-informational Trades Using Trading Volume Data

Author

Listed:
  • Lee, Bong-Soo
  • Rui, Oliver M

Abstract

This paper empirically identifies non-informational and informational trades using stock returns and trading volume data of the U.S., Japanese, and U.K. stock markets and five individual firms. We achieve the identification by imposing a restriction from theoretical considerations. Our results show that trading volume is mainly driven by non-informational trades, while stock price movements are primarily driven by informational trades. We also find that, around the 1987 stock market crash, trading volumes due to non-informational trades increased dramatically, while the decline in stock market prices was due mainly to informational trades. Increases in volatilities both in returns and in trading volumes during and after the crash are mainly due to non-informational trades. Regarding the trading volume-serial correlation in the stock returns relationship, we find evidence that is consistent with theoretical predictions that non-informational components can account for high trading volume accompanied by a low serial correlation of stock returns. Copyright 2001 by Kluwer Academic Publishers

Suggested Citation

  • Lee, Bong-Soo & Rui, Oliver M, 2001. "Empirical Identification of Non-informational Trades Using Trading Volume Data," Review of Quantitative Finance and Accounting, Springer, vol. 17(4), pages 327-350, December.
  • Handle: RePEc:kap:rqfnac:v:17:y:2001:i:4:p:327-50
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0924-865X/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
    2. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
    3. Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016. "Intraday jumps and trading volume: a nonlinear Tobit specification," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1167-1186, November.
    4. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:17:y:2001:i:4:p:327-50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.