A Model of Competitive Stock Trading Volume
A Model of Competitive Stock Trading Volume
复制标题
DOI：
10.1086/261924
复制
发表时间：
1994-02
影响因子：
8.2
通讯作者：
Jiang Wang
中科院分区：
文献类型：
--
作者：
Jiang Wang
本文建立了一个竞争性股票交易模型，在该模型中，投资者的信息和私人投资机会是异质的，他们出于信息动机和非信息动机进行理性交易。我研究了投资者之间的异质性的性质和交易量的行为及其与价格动态的关系之间的联系。研究发现，交易量与价格和股息的绝对变化呈正相关。研究结果表明，信息交易和非信息交易会导致交易量与股票收益之间不同的动态关系。
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.