Dynamic Relation between Trading Volume and Return Autocorrelation under Information Asymmetry: Empirical Evidence from Futures Markets

2004 ◽  
Author(s):  
Horace Chueh ◽  
Andy Chien ◽  
Der-Yuan Yang
Keyword(s):  
Information Asymmetry ◽  
Empirical Evidence ◽  
Trading Volume ◽  
Futures Markets ◽  
Dynamic Relation

scholarly journals Information Asymmetry, Ownership Structure and Cost of Equity Capital: The Formation for Open Innovation

2021 ◽  
Vol 7 (1) ◽  
pp. 48
Author(s):  
Ade Imam Muslim ◽  
Doddy Setiawan
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Ownership Structure ◽  
Trading Volume ◽  
Foreign Ownership ◽  
Equity Capital ◽  
Cost Of Equity Capital ◽  
Cost Of Equity ◽  
Ownership Structures ◽  
The Cost

Our study aims to investigate how information asymmetry and ownership structure affect cost of equity capital. For that purpose, we collected 246 issuers over 4 years for a total of 984 observations. By using panel data processing, we found that the information asymmetry we proxied through Price non-Synchronization and trading volume had an effect on the cost of equity capital. Our results also confirmed both Agency Theory and Pecking Order Theory. Both theories are in line with the conditions of the stock market in Indonesia. In addition, we found that institutional and foreign ownership structures also had an effect on the cost of equity capital. Furthermore, our results also confirmed Interest Alignment Theory and Entrenchment Theory. Our research is expected to contribute to the debate on the existence of information asymmetry and ownership structures in relation to the cost of equity capital. We also hope that it will be a valuable input for investors in considering their investment. Moreover, from the results of this study, investors can also consider foreign ownership or institutional ownership in determining their investment. In addition, stock market regulators in Indonesia can develop approaches to minimize information asymmetry and encourage foreign investors to invest in Indonesia.

The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility

2001 ◽  
Vol 36 (3) ◽  
pp. 153-174 ◽  
Author(s):  
Gong-meng Chen ◽  
Michael Firth ◽  
Oliver M. Rui
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Dynamic Relation

scholarly journals THE XBRL TECHNOLOGY AND MARKET EFFICIENCY IN BANKING COMPANIES LISTED ON THE INDONESIA STOCK EXCHANGE (IDX)

2020 ◽  
Vol 4 (1) ◽  
pp. 26
Author(s):  
Erni Jayani ◽  
Jumiadi Abdi Winata ◽  
Khairunnisa Harahap
Keyword(s):  
Information Asymmetry ◽  
Market Efficiency ◽  
Financial Reporting ◽  
Stock Prices ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Accurate Information ◽  
Stock Trading

The problem in this research is the need for fast and accurate information in the format of the presentation of financial statements resulting in the distribution of information, and data management can be problematic. Therefore, a format for financial reporting systems, namely Extensible Business Reporting Language (XBRL), was formed. The purpose of this study was to determine the effect of XBRL technology, stock prices, Return on Assets (ROA), and institutional ownership on market efficiency (information asymmetry and stock trading volume). The population and sample of this study are banking companies listed on the Indonesia Stock Exchange from 2015-2016. The sampling method using a purposive sampling method and obtained a sample of 42 companies. Data collection techniques are carried out by taking data from the Indonesia Stock Exchange website (www.idx.co.id) and the site http://finance.yahoo.com. Data were analyzed with multiple regression tests after being declared normal with the normality test and though using SPSS 20. The results of this study simultaneously stated that XBRL technology, stock prices, ROA, and institutional ownership together have an influence on information asymmetry and stock trading volume. From the results of the study, it can be concluded that XBRL technology, stock prices, ROA, and institutional ownership cause a decrease in the level of information asymmetry and trading volume. This result also states that the company is in excellent condition when the value of information asymmetry decreases, but it is not good when the trading volume of its shares also decreases. Keywords: XBRL Technology; Stock Prices; Market Efficiency; Information Asymmetry; Stock Trading Volume. 

Volatility, trading volume and open interest in futures markets

2016 ◽  
Vol 12 (5) ◽  
pp. 629-653 ◽  
Author(s):  
Christos Floros ◽  
Enrique Salvador
Keyword(s):  
Interest Rates ◽  
Trading Volume ◽  
Futures Markets ◽  
Empirical Relation ◽  
Impulse Response Functions ◽  
Open Interest ◽  
Content Type ◽  
Daily Data ◽  
Relevant Role ◽  
Stage Estimation

Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in the behaviour of futures prices. Design/methodology/approach The sample includes daily data covering the period 1996-2014 from 36 international futures markets (including currencies, commodities, stock indices, interest rates and bonds). The authors employ a two-stage estimation methodology: first, the authors employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open interest. To quantify the percentage of volatility that is caused by liquidity variables, the authors also regress the estimated volatilities on the measures of open interest and trading volume. Findings The authors find that: market depth has an effect on the volatility of futures markets but the direction of this effect depends on the type of contract, and there is evidence of a positive contemporaneous relationship between trading volume and futures volatility for all futures contracts. Impulse-response functions also show that trading volume has a more relevant role in explaining market volatility than open interest. Practical implications These results are recommended to financial managers and analysts dealing with futures markets. Originality/value To the best of the authors’ knowledge, no study has yet considered a complete database of futures markets to investigate the empirical relation between price changes (volatility), trading volume and open interest in futures markets.

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