The Volume-returns Relation under Information Asymmetry: The Case of the Malaysian Stock Market

摘要

This paper examines the dynamic volume-returns relation for 282 individual firms listed on the Malaysian stock market by utilizing daily data from 1st July 1997 to 30th June 2005. This paper uses time series and cross-sectional analyses to investigate the motive to trade in three size groups of individual stocks for the full and two sub-sample periods. The result indicates that speculation on asymmetric information is the primary motive to trade on Malaysian stock market and this is even more significant for the large firms. The findings of this study provide important implications to policy makers in addition to investors in this emerging market.