The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
A Model of Competitive Stock Trading Volume
Abstract
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 positively correlated with absolute changes in prices and dividends. I show that informational trading and noninformational trading lead to different dynamic relations between trading volume and stock returns.
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Citations
Cites
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Cited by
Determinants of trading profits: the liquidity provision decision
Chae, J., & Wang, A. (2009) · Emerging Markets Finance and Trade · doi:10.2753/ree1540-496x450603 · Cited by 6
Metadata
- Authors
- Wang, J.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1994-02
- Volume
- 102
- Issue
- 1
- Pages
- 127-168
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2014824192
- Cited by
- 908
- References
- 1
- FWCI
- 16.56
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
