The purpose of this paper is to propose a new theory regarding the heterogeneity of trading information and price-volume relationship. Basically, the heterogeneity of trading information influences the market demand and supply curves of a stock (or equity index), which in turn affects the price-volume relationship for that stock (or index). This theoretical framework helps resolve existing issues regarding price-volume relationships for equities. For example, empirical experience demonstrates that stock price reversals from tops or rebounds from bottoms are often accompanied with extremely large trading volume; however, an abnormal large volume is not always, but more likely, to lead a price reversal (or rebound). This is due to the greatest extent of heterogeneity of trading information among traders at the time of price reversals (or rebounds). Empirically, this investigation focuses on the price-volume relationship surrounding stock price reversals (or rebounds), which clarify the role of information. The results strongly support the proposed framework.

This study investigates the daily and monthly data of nine major categories of funds from 1997 to 2008. It hopes to verify if lead–lag relations exist amid different categories of funds. The study has come up with two major conclusions: (1) the funds in respective categories mostly have a regular cyclical phenomenon; (2) three kinds of lead–lag relations in return exist amid various categories of funds, in which the first kind of relations is bond funds leading equity funds and equity funds leading energy funds, the second kind of relations is bond funds leading technology funds and technology funds leading energy funds and the third kind of relations is currency funds leading real estate funds. Thus, the investors can not only optimize their investment portfolios but also know the timing that they should buy or sell the funds' position.