成交量與收益的關係(pdf 52頁)

This study examines the behaviour of stock prices in the presence of asymmetric information,when market participants are prohibited from short selling. We model the volume behaviour when high or low signals are observed by insiders, who are unable to sell unless they own stock. We demonstrate that prices adjust to good news on high volume and to bad news on low volume;
furthermore, we show that the speed of adjustment is greater on bad news, that is, the price falls more quickly to a lower equilibrium price than it rises to the price corresponding to good news. Under mild conditions on the market microstructure, there is a positive intertemporal correlation between volume and return, with volume leading; additional conditions lead to the speed of adjustment result. The primary volume anomaly is tested by an empirical study of stocks trading on the Stock Exchange of Thailand, where short sales are prohibited.

Inside information and restrictions on trading opportunities are generally considered to be detrimental to market efficiency. Market makers react to these conditions as they attempt to set prices and quote spreads for their stocks. Their decisions to adjust their prices and spreads are based on observation of the orders they receive from unidentified traders potentially having superior information. Both the type of orders, as buys or sells, and the volume of trading, either per order or in aggregate, is partially revealing of the true nature of existing information. In addition, the absence of orders potentially signals the occurrence of news. If short selling is prohibited, then informed traders aware of bad news will only be able to sell if they already own stock in sufficient quantity to satisfy their desire to profit from the news. Hence the observation of no trades may be indicative of the presence of informed would be sellers. The market maker’s problem is lessened if he knows the composition of the market for the stock in terms of the percentage of informed traders and of the holdings of informed and uninformed investors. This permits better estimates of the probabilities that buys, sells and no trades are being generated by either informed or uninformed traders. securities

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