A large body of literature finds that the unexpected trading volume,which is obtained by filtering out time trend and autocorrelation,can be used as a proxy of the information flow and can explain the heteroskedasticity of stock return to some degrees.In this paper,we find that the heteroskedasticity exists in the unexpected trading volume,and we further generate a new information proxy by filtering out the heteroskedasticity from the unexpected trading volume,we call it "persistence-free tradin...