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Trading Volume, Information Asymmetry, And Timing Information
Oleh:
Joon Chae
Jenis:
Article from Journal - ilmiah internasional
Dalam koleksi:
The Journal of Finance (EBSCO) vol. 60 no. 1 (Feb. 2005)
,
page 413-442.
Topik:
trading volume
;
securities trading volume
;
financial reporting
;
behaviour
;
regression analysis
;
mathematical models
;
investors
;
studies
Fulltext:
p 413.pdf
(163.13KB)
Ketersediaan
Perpustakaan Pusat (Semanggi)
Nomor Panggil:
JJ88
Non-tandon:
1 (dapat dipinjam: 0)
Tandon:
tidak ada
Lihat Detail Induk
Isi artikel
This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. I investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements, implying that they extract timing information from their order books.
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