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Abstract This study provides a further test of whether the price change‐volume relationship is asymmetric as Epps' theoretical model and empirical evidence indicate. Testing during periods of known information arrival supports his hypothesis that the ratio of volume to absolute price change on price increases is higher than that ratio on equivalent price decreases. There is some contrary evidence when the testing occurs over trading days for which there is no known information arrival. This reversal of results could be due to the combined effect of positive transaction costs and no information arrival. There is evidence in support of this explanation.
Smirlock et al. (Sun,) studied this question.