This study investigates the impact of information arrival on prices for 21 major global market indices for the period 1998–2018, employing quantile regression methodology. The results show that there is a contemporaneous and causal effect of volume on returns. This return-volume relation is a manifestation of systematic market-wide information that is released in an autocorrelated manner to market participants. This information is absorbed by the market participants over short horizons, within a day. This leads to uniform expectations and, in turn, lower volatility levels. The effect of volume on return is heterogeneous across the conditional quantiles, reflecting the contrasting patterns in the transmission of positive and negative news. This evidence is more pronounced when the intensity of information arrival is high (the tails of return distribution), which is consistent with the mixture of distribution hypothesis and information asymmetry hypothesis.

本研究采用分位数回归方法，调查了1998-2018年间信息到达对21种主要全球市场指数价格的影响。结果表明，交易量对收益有同时性和因果关系。这种收益量关系是系统性市场信息的体现，该信息以自相关的方式发布给市场参与者。市场参与者在一天内会在短时间内吸收此信息。这导致了一致的预期，进而降低了波动率水平。在条件分位数上，交易量对收益的影响是异质的，反映出正面新闻和负面新闻在传播过程中的对比方式。