This study examines how after-market information over the weekend affects
stock prices and trading volume for the next Monday in the Taiwan market. Because
of the nature of causality and simultaneity that exists when the time period of
data between independent and dependent variables overlaps, the control-time-lag
method is proposed to address this issue. In contrast to the literature, the
empirical results reveal investors’ information searching (attention) increases
stock trading volume but is not
effective for prices, indicating there may be noise traders in the market. To
predict the price, it should return to the essence of the information, which is
good or bad for the market. Moreover, this study finds that information-related
factors are more important than companies’ fundamentals in affecting the Taiwan
stock market.
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