| 英文摘要 |
The relationship between informed trading activity and stock return volatility is one key subject and under-explored in literature. Prior studies shows that when stock prices drop, uninformed trading increase volatility, and when stock prices go up, informed trading lower volatility. This current paper provides a new finding showing that the relation between informed trading activity and return volatility is asymmetrical across stocks with different levels of informed trading participation. For stocks with high level of informed trading activity, an increase of informed trading would stabilize the volatility. For stocks who have little involvement of informed traders, on the other hand, more informed trading activity leads to higher return volatility. This asymmetric effect between the two variables provides important reference to derivative pricing, risk management, and financial econometrics. |
