A Model of Competitive Stock Trading Volume
نویسندگان
چکیده
منابع مشابه
A Model of Competitive Stock Trading Volume
A model of competitive stock trading is developed in which investors are heterogeneous in their information and private investment opportunities and rationally trade for both informational and noninformational motives. I examine the link between the nature of heterogeneity among investors and the behavior of trading volume and its relation to price dynamics. It is found that volume is positivel...
متن کاملA Bayesian analysis of stock return volatility and trading volume
The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...
متن کاملProfitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market
In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...
متن کاملA Model of Stock Index Security Trading: Information, Volume and Pricing
This paper develops a model of trading in stock and stock index security markets in the presence of transaction costs. We show that the introduction of stock index market improves the dissemination of market-wide information and index trading is more informative about stock market price movements than stock trading. The model generates rich implications on the informativeness of the stock index...
متن کاملTransaction Cost Transform of Trading Volume Series in a Closed Auction Type Stock Market Model
Research work on price making mechanisms in computational intelligence still remains somewhat under-represented, in part because of its short-time scale implications, and in part due to the complexity in modeling bid-offer array books and correlating them to individual market players. Here we report a study on the transaction cost – trading volume correlations in an artificial stock market with...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 1994
ISSN: 0022-3808,1537-534X
DOI: 10.1086/261924