Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27283
Title: Empirical identification of non-informational trades using trading volume data
Authors: Lee, BS
Rui, OM
Keywords: Informational trade
Non-informational trade
Trading volume
Issue Date: 2001
Source: Review of quantitative finance and accounting, 2001, v. 17, no. 4, p. 327-350 How to cite?
Journal: Review of Quantitative Finance and Accounting 
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.
URI: http://hdl.handle.net/10397/27283
ISSN: 0924-865X
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

6
Last Week
0
Last month
Citations as of Oct 17, 2017

Page view(s)

30
Last Week
0
Last month
Checked on Oct 16, 2017

Google ScholarTM

Check



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.