Information Asymmetry and Price-Volume Relations

• Main Authors: Yu, Ying-Hong, 游穎鴻
• Other Authors: Yong-Chern Su
• Format: Others
• Language: en_US
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/92537455240373539920

碩士 === 國立臺灣大學 === 商學研究所 === 90 === In this study we examine the price-volume and volume-volatility relations of large trading, and try to find some indicator to capture the price effect of information asymmetry. We use three indicators from large orders─ buy-to-sell ratio (I1), excess-buy to volume ratio (I2), and excess-buy to capital ratio (I3) —independently, and try to explain the stock return behavior under information asymmetry. We select 30 sample stocks from TSE and sample period from Mar. 1, 2001 to Aug. 31, 2001 with 128 observations for each sample stock, and GARCH(1,1)-MA(1) model is applied. The major finding of this study are described as follows: 1. There exist positive relations not only between price and volume but also between volume and volatility, no matter in contemporaneous or lag one. 2. By using buy-to-sell ratio (I1) indicator, we can capture the price effect of large trading more precisely, and one unit increment of buy-to-sell ratio causes the stock return moving up 0.8485% average in the same day. 3. The buy-to-sell ratio (I1) is also the best indicator to capture the large trading effect on the lag one stock return, and one unit increment of buy-to-sell ratio causes the stock return moving up 0.7308% average in the next day. 4. There exists referral value in the large trading, and the investors may infer from the volume information of these large trading to take profit.