成交量與收益的關係(pdf 52)

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.
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