Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume

This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The re...

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Main Authors:	WU, Chunchi, Li, J.
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2006
Subjects:	Finance and Financial Management Portfolio and Security Analysis
Online Access:	https://ink.library.smu.edu.sg/lkcsb_research/783
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.lkcsb_research-1782
record_format	dspace
spelling	sg-smu-ink.lkcsb_research-17822010-09-23T06:24:04Z Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume WU, Chunchi Li, J. This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The results show that the positive relationship between volatility and volume is primarily driven by the informed component of trading. When we control for the information flow, volatility is negatively related to trading volume. Furthermore, bid-ask spreads are positively related to the intensity of information flow. [PUBLICATION ABSTRACT] 2006-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/783 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance and Financial Management Portfolio and Security Analysis
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Finance and Financial Management Portfolio and Security Analysis
spellingShingle	Finance and Financial Management Portfolio and Security Analysis WU, Chunchi Li, J. Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
description	This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility. The results show that the positive relationship between volatility and volume is primarily driven by the informed component of trading. When we control for the information flow, volatility is negatively related to trading volume. Furthermore, bid-ask spreads are positively related to the intensity of information flow. [PUBLICATION ABSTRACT]
format	text
author	WU, Chunchi Li, J.
author_facet	WU, Chunchi Li, J.
author_sort	WU, Chunchi
title	Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
title_short	Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
title_full	Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
title_fullStr	Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
title_full_unstemmed	Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume
title_sort	daily return volatility, bid-ask spreads and information flow: analyzing the information content of volume
publisher	Institutional Knowledge at Singapore Management University
publishDate	2006
url	https://ink.library.smu.edu.sg/lkcsb_research/783
_version_	1770569690996801536

Daily Return Volatility, Bid-Ask Spreads and Information Flow: Analyzing the Information Content of Volume

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