Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/27283
DC FieldValueLanguage
dc.contributorSchool of Accounting and Finance-
dc.creatorLee, BS-
dc.creatorRui, OM-
dc.date.accessioned2015-06-23T09:12:33Z-
dc.date.available2015-06-23T09:12:33Z-
dc.identifier.issn0924-865X-
dc.identifier.urihttp://hdl.handle.net/10397/27283-
dc.language.isoenen_US
dc.subjectInformational tradeen_US
dc.subjectNon-informational tradeen_US
dc.subjectTrading volumeen_US
dc.titleEmpirical identification of non-informational trades using trading volume dataen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage327-
dc.identifier.epage350-
dc.identifier.volume17-
dc.identifier.issue4-
dcterms.abstractThis 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.-
dcterms.bibliographicCitationReview of quantitative finance and accounting, 2001, v. 17, no. 4, p. 327-350-
dcterms.isPartOfReview of Quantitative Finance and Accounting-
dcterms.issued2001-
dc.identifier.scopus2-s2.0-2442676984-
dc.identifier.rosgroupidr08672-
dc.description.ros2001-2002 > Academic research: refereed > Publication in refereed journal-
Appears in Collections:Journal/Magazine Article
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