Stock Price Volatility: A Multiple Source and Access Channel Model

本研究运用沟通渠道的信息传递理论，解释了供需信息是如何通过市场价格向公众传递的。股市被选为一个具体的例子。股价的上涨和下跌应该是标的股票价值发生根本变化的信号。当股票价格发生变化，但基本面股票价值不变时，就会出现过度的股价波动。信息传递理论被用来证明这种虚假的价格信号可以被市场交易者发现并因此打折。成功的检测会带来一个更有效率的市场，并通过提高国家资源的配置效率来增加社会福利。所提出的理论市场模型使用涵盖该交易所历史上最动荡时期的纽约证券交易所股票价格和成交量数据进行了验证。这项研究对于理解信息传递和内容的一般性质很重要。在这方面，这项研究通过使用工程传播理论来分析经济市场中的信息流来探索信息的基本特征。

This study uses the theory of information transmission over communication channels to explain how supply and demand information is communicated to the public by market prices. The stock market is chosen as a specific example. Rising and falling stock prices should signal fundamental changes in the value of the underlying stocks. Excess stock price volatility occurs when stock prices change but the fundamental stock values do not. The theory of information transmission is used to show that such false price signals can be detected and thereby discounted by market traders. Successful detection leads to a more efficient market and increased social welfare by making the allocation of national resources more efficient. The theoretical market model proposed is validated using New York Stock Exchange stock price and volume data covering the historically most volatile period of this exchange. The study is important in understanding the general nature of information transmission and content. In that regard, this study explores the fundamental characteristics of information by using an engineering communications theory to analyze information flows in economic markets.