A MODEL OF COMPETITIVE STOCK TRADING VOLUME

被引：395
作者：
WANG, J
机构：
来源：
JOURNAL OF POLITICAL ECONOMY | 1994年 / 102卷 / 01期
关键词：
D O I：
10.1086/261924
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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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页码：127 / 168
页数：42
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