文章基本信息

标题：Asymmetric Information Spillovers between Trading Volume and Price Changes in Malaysian Futures Market
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作者：You-How Go ; Wee-Yeap Lau
期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2014
卷号：1
期号：3
页码：5-16
DOI：10.13106/jafeb.2014.vol1.no3.5
语种：English
出版社：Korean Distribution Science Association
摘要：This study aims to examine the dynamics of price changes and trading volume of Kuala Lumpur Options and Financial Futures Exchange (KLOFFE) from 2000 to 2008.With augmented analysis,our results support two hypotheses.First,under information spillover,our findings support noise traders’ hypothesis as the time span for variance of past trading volume to cause variance of current return is found to be asymmetric under bull and bear markets.Second,looking at the dynamic relation between volume and volatility of price changes,our findings support Liquidity-Driven Trade hypothesis as past trading volume and subsequent volatility of return exhibit positive correlation.In terms of investors’ behavior in response to the news,we find that investors are more risk taking in bull market and more risk reverse in bear market.Our study suggests that investors should adjust their strategy in the futures market in a dynamic manner as the time span of new information arrival is not consistent.Also,uninformed investors with information asymmetry should expect noninformational trading from informed investors to establish their desired positions for better liquid position.
关键词：price changes-volume dynamics;causality-in-variance;cross-correlation function;asymmetric information arrival