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Trading volume and firm size: A test of the information spillover hypothesis
Author(s) -
Weigand Robert A.
Publication year - 1996
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/s1058-3300(96)90005-1
Subject(s) - proxy (statistics) , granger causality , spillover effect , stock (firearms) , economics , information flow , information transfer , volume (thermodynamics) , monetary economics , econometrics , business , financial economics , microeconomics , statistics , mechanical engineering , linguistics , philosophy , physics , mathematics , quantum mechanics , engineering
This study investigates information transfer across firms by using the trading volume of large‐and small‐stock portfolios as a proxy for the flow of information in financial markets. I find bi‐directional Granger‐causality between the trading volume of large and small firms. The results do not support previous studies that report evidence of one‐way information transfer using the returns and variances of different‐sized firms. My findings suggest several explanations. Either information arrival in financial markets has a different impact on trading volume than it does on returns and variances, or certain information shocks may affect different firms more rapidly, with these shocks eventually influencing the volume of trade of all firms.