Download or read book Dynamic Relation between Trading Volume and Return Autocorrelation Under Information Asymmetry written by Horace Chueh and published by . This book was released on 2005 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading volume conveys critical information on future price changes, which are of interests to all market participants. This paper inspects trading volume with the intraday transaction data of the TAIEX futures trade on the Taiwan Futures Exchange. The results support the theory of Llorente et al. (2002). Trading days associated with a high degree of information asymmetry exhibit more return continuation on high-volume transactions and those associated with a low degree of information asymmetry demonstrate more return reversals on high-volume transactions. Time-varying analyses show that high-volume transaction creates more return continuation around the opening period of a trading day, coupled with a high degree of informed trading.