[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Differential information and dynamic behavior of stock trading volume. (1994). He, Hua ; He, Hua., .
In: Working papers.
RePEc:mit:sloanp:2531.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 37

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris.
    In: Bulletin of Economic Research.
    RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

    Full description at Econpapers || Download paper

  2. The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Admati, A., 1985, A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets, Econometrica,53, 629-657.

  2. Admati, A., and P. Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of FinancialStudies, 1, 3-40.

  3. Brown, D.P., and R.H. Jennings, 1989, On Technical Analysis, Review of FinancialStudies, 2, 527-552.
    Paper not yet in RePEc: Add citation now

  4. Campbell, J.Y., and A.S. Kyle, 1993, Smart Money, Noise Trading, and Stock Price Behavior, Review of Economic Studies, 60, 1-34.

  5. Campbell, J.Y., S.J. Grossman and J. Wang, 1993, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journalof Economics, 108, 905-939.

  6. Clark, P.K., 1973, A Subordinate Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica,41, 135-155.

  7. Diamond, D.W., and R.E. Verrecchia, 1981, Information Aggregation in a Noisy Rational Expectations Economy, Journalof FinancialEconomics, 9, 221-235.

  8. Dumas, B., 1989, Two-Person Dynamic Equilibrium in the Capital Market, Review of Financial Studies, 2, 157-188.

  9. Feldman, M., and C. Gilles, 1985, An Expository Note on Individual Risk without Aggregate Uncertainty, Journalof Economic Theory, 35, 26-32.

  10. Foster, F.D., and S. Viswanathan, 1993, Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information, working paper, Duke University.

  11. Gallant, A.R., P.E. Rossi and G. Tauchen, 1992, Stock Prices and Volume, Review ofFinancial Studies, 5, 199-242.

  12. Gennotte, G., and A.S. Kyle, 1991, Intertemporal Insider Trading with a Smooth Order Flow, working paper, University of California at Berkeley.
    Paper not yet in RePEc: Add citation now

  13. Grossman, S.J., 1976, On the Efficiency of Competitive Stock Markets where Traders Have Diverse Information, Journalof Finance,31, 573-585.

  14. Grossman, S.J., 1981, An Introduction to the Theory of Rational Expectations Under Asymmetric Information, Review of Economic Studies, 48, 541-559.

  15. Grossman, S.J., and J. Stiglitz, 1980, On the Impossibility of Informationally Efficient Markets, American Economic Review, 70, 383-408.

  16. Grossman, S.J., and M.H. Miller, 1988, Liquidity and Market Structure, Journalof Finance, 43, 617-633.

  17. Grundy, B., and M. McNichols, 1989, Trade and Revelation of Information through Prices and Direct Disclosure, Review of FinancialStudies, 2, 495-526.
    Paper not yet in RePEc: Add citation now

  18. Hellwig, M.F., 1980, On the Aggregation of Information in Competitive Markets, Journalof Economic Theory, 22, 477-498.

  19. Holden, C., and A. Subrahmanyam, 1990, Long-Lived Private Information and Imperfect Competition, Journalof Finance,47, 247-270.

  20. Huffman, G.W., 1987, A Dynamic Equilibrium Model of Asset Prices and Transactions Volume, Journalof PoliticalEconomy, 95, 138-159.

  21. Kim, 0., and R.E. Verrecchia, 1991a, Trading Volume and Price Reactions to Public Announcements, Journalof Accounting Research, 29, 302-321.

  22. Kim, 0., and R.E. Verrecchia, 1991b, Market Reaction to Anticipated Announcements, Journal of FinancialEconomics, 30, 273-309.
    Paper not yet in RePEc: Add citation now

  23. Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica,53, 1315-1335.

  24. Kyle, A.S., 1989, Informed Speculation with Monopolistic Competition, Review of Economic Studies, 56, 317-355.
    Paper not yet in RePEc: Add citation now

  25. Lamoureux, C.G., and W.D. Lastrapes, 1990, Heteroskedasticity in Stock Return Data: Volume vs. GARCH Effects, Journalof Finance,45, 487-498.

  26. Lamoureux, C.G., and W.D. Lastrapes, 1992 Endogenous Trading Volume and Momentum in Stock Return Volatility, working paper, Washington University.
    Paper not yet in RePEc: Add citation now

  27. LeBaron, B., 1992, Persistence of the Dow Jones Index on Rising Volume, working paper, University of Wisconsin.

  28. Liptser, R.S., and A.N. Shiryayev, 1974, Statisticsof Random ProcessesI & II, Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now

  29. Milgrom, P., and N. Stokey, 1982, Information, Trade and Common Knowledge, Journal of Economic Theory, 26, 17-27.

  30. Pfleiderer, P., 1984, The Volume of Trade and the Variability of Prices: A Framework for Analysis in Noisy Rational Expectations Equilibria, working paper, Stanford University.
    Paper not yet in RePEc: Add citation now

  31. Rao, K.P.S.B., and M.B. Rao, Theory of Charges, Academic Press, New York. Shalen, C.T., 1993, Volume, Volatility, and the Dispersion of Beliefs, Review of Financial Studies, 6, 405-434.

  32. Singleton, K.J., 1987, Asset Prices in a Time-Series Model with Disparately Informed, Competitive Traders, New Approach to Monetary Economics (Proceedings of the Second International Symposium in Economic Theory and Econometrics), edited by W.A. Barnett and K.J. Singleton, Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  33. Spiegel, M. and A. Subrahmanyam, 1992, On Intraday Risk Premia, working paper, Columbia University.
    Paper not yet in RePEc: Add citation now
  34. Stickel, S.E. and R.E. Verrecchia, 1993, Evidence that Volume Sustains Price Changes, working paper, University of Pennsylvania.
    Paper not yet in RePEc: Add citation now
  35. Townsend, R.M., 1983, Forecasting the Forecasting of Others, Journalof PoliticalEconomy, 91, 546-588.
    Paper not yet in RePEc: Add citation now
  36. Vayanos, D., 1992, A Dynamic Model of an Imperfectly Competitive Bid-Ask Market, working paper, MIT.
    Paper not yet in RePEc: Add citation now

  37. Wang, J., 1993, A Model of Intertemporal Asset Prices under Asymmetric Information, Review of Economic Studies, 60, 249-282.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Information acquisition and learning from prices over the business cycle. (2014). Ohl, Björn ; Mäkinen, Taneli ; Mkinen, Taneli .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_946_14.

    Full description at Econpapers || Download paper

  2. Noise and aggregation of information in large markets. (2013). Uroevi, Branko ; Garcia, Diego .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:526-549.

    Full description at Econpapers || Download paper

  3. Rational expectations equilibrium with uncertain proportion of informed traders. (2013). Gao, Feng ; Wang, Jun ; Song, Fengming .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:387-413.

    Full description at Econpapers || Download paper

  4. Speculative dynamics in the term structure of interest rates. (2012). Nimark, Kristoffer.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1194.

    Full description at Econpapers || Download paper

  5. Liquidity and asset prices in rational expectations equilibrium with ambiguous information. (2011). Werner, Jan ; Ozsoylev, Han.
    In: Economic Theory.
    RePEc:spr:joecth:v:48:y:2011:i:2:p:469-491.

    Full description at Econpapers || Download paper

  6. The Real Effects of Financial Markets. (2011). Edmans, Alex ; Bond, Philip ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17719.

    Full description at Econpapers || Download paper

  7. Equilibrium Information Acquisition, Prediction Abilities and Asset Prices. (2011). Guo, Wen-Chung.
    In: Computational Economics.
    RePEc:kap:compec:v:37:y:2011:i:1:p:89-111.

    Full description at Econpapers || Download paper

  8. Higher order expectations, illiquidity, and short-term trading. (2011). Vives, Xavier ; Cespa, Giovanni.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0915.

    Full description at Econpapers || Download paper

  9. Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff. (2010). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00488481.

    Full description at Econpapers || Download paper

  10. Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity. (2010). Vives, Xavier ; Manzano, Carolina.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3137.

    Full description at Econpapers || Download paper

  11. Rational Attention Allocation Over the Business Cycle. (2009). Veldkamp, Laura ; Van Nieuwerburgh, Stijn ; Kacperczyk, Marcin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15450.

    Full description at Econpapers || Download paper

  12. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2009). Vives, Xavier ; Cespa, Giovanni.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7506.

    Full description at Econpapers || Download paper

  13. Testing Asymmetric-Information Asset Pricing Models. (2009). Ljungqvist, Alexander ; Kelly, Bryan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7180.

    Full description at Econpapers || Download paper

  14. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2009). Vives, Xavier ; Cespa, Giovanni.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2839.

    Full description at Econpapers || Download paper

  15. A Computational View of Market Efficiency. (2009). Lo, Andrew ; Hasanhodzic, Jasmina ; Viola, Emanuele .
    In: Papers.
    RePEc:arx:papers:0908.4580.

    Full description at Econpapers || Download paper

  16. Dynamic Trading and Asset Prices: Keynes vs. Hayek. (2008). Vives, Xavier ; Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:191.

    Full description at Econpapers || Download paper

  17. Amplification and asymmetry in crashes and frenzies. (2008). Ozsoylev, Han.
    In: Annals of Finance.
    RePEc:kap:annfin:v:4:y:2008:i:2:p:157-181.

    Full description at Econpapers || Download paper

  18. Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model. (2008). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00176630.

    Full description at Econpapers || Download paper

  19. Information Sales and Insider Trading with Long-lived Information. (2007). Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:174.

    Full description at Econpapers || Download paper

  20. Sudden Flight and True Sudden Stops. (2007). Warnock, Francis ; Rothenberg, Alexander D..
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp187.

    Full description at Econpapers || Download paper

  21. Dynamic trading and asset prices: Keynes vs. Hayek. (2007). Vives, Xavier ; Cespa, Giovanni.
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0716.

    Full description at Econpapers || Download paper

  22. Financial Contagion and Attention Allocation. (2006). Mondria, Jordi.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-254.

    Full description at Econpapers || Download paper

  23. Sudden Flight and True Sudden Stops. (2006). Warnock, Francis ; Rothenberg, Alexander D..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12726.

    Full description at Econpapers || Download paper

  24. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
    In: American Economic Review.
    RePEc:aea:aecrev:v:96:y:2006:i:3:p:552-576.

    Full description at Econpapers || Download paper

  25. Optimal research in financial markets with heterogeneous private information; a rational expectations model. (2005). Tinn, Katrin.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:6.

    Full description at Econpapers || Download paper

  26. Informational asymmetries and a multiplier effect on price correlation and trading. (2005). Pinheiro, Marcelo.
    In: Annals of Finance.
    RePEc:kap:annfin:v:1:y:2005:i:4:p:395-421.

    Full description at Econpapers || Download paper

  27. Characterizing Asymmetric Information in International Equity Markets. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: International Finance.
    RePEc:wpa:wuwpif:0405005.

    Full description at Econpapers || Download paper

  28. Noise and aggregation of information in large markets. (2004). Urosevic, Branko ; Garcia, Diego .
    In: Economics Working Papers.
    RePEc:upf:upfgen:785.

    Full description at Econpapers || Download paper

  29. Information Markets and the Comovement of Asset Prices. (2004). Veldkamp, Laura.
    In: Working Papers.
    RePEc:ste:nystbu:04-18.

    Full description at Econpapers || Download paper

  30. Essays on Speculation. (2004). Zurita, Felipe.
    In: Levine's Working Paper Archive.
    RePEc:cla:levarc:618897000000000849.

    Full description at Econpapers || Download paper

  31. International Equity Flows and Returns: A Quantitative Equilibrium Approach. (2004). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: Staff Working Papers.
    RePEc:bca:bocawp:04-42.

    Full description at Econpapers || Download paper

  32. Giffen goods and market making. (2003). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:681.

    Full description at Econpapers || Download paper

  33. A comparison of stock market mechanisms. (2003). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:545.

    Full description at Econpapers || Download paper

  34. Giffen Goods and Market Making. (2003). Cespa, Giovanni.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:97.

    Full description at Econpapers || Download paper

  35. A Comparison of Stock Market Mechanism. (2003). .
    In: CSEF Working Papers.
    RePEc:sef:csefwp:94.

    Full description at Econpapers || Download paper

  36. Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows. (2003). Watanabe, Masahiro ; Goetzmann, William ; Brown, Stephen ; Shirishi, Noriyoshi ; Hiraki, Takato .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9470.

    Full description at Econpapers || Download paper

  37. Short-term investment and equilibrium multiplicity. (2002). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:520.

    Full description at Econpapers || Download paper

  38. On the Possibility of Stock Market Crashes in the Absence of Portfolio Insurance. (1999). Barlevy, Gadi ; Veronesi, Pietro.
    In: Discussion Papers.
    RePEc:nwu:cmsems:1252.

    Full description at Econpapers || Download paper

  39. A rational expectations model of financial contagion. (1998). Kodres, Laura E. ; Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1998-48.

    Full description at Econpapers || Download paper

  40. Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0190.

    Full description at Econpapers || Download paper

  41. Lead-Lag Effects When Prices Reveal Cross-Security Information. (1997). Safvenblad, Patrik.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0189.

    Full description at Econpapers || Download paper

  42. Information quality, performance measurement, and security demand in rational expectations economies. (1995). Noe, Thomas ; Ramamurtie, Buddhavarapu Sailesh.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-4.

    Full description at Econpapers || Download paper

  43. Bid-Ask Spreads with Indirect Competition Among Specialists. (1994). Jackson, Matthew ; Gehrig, Thomas.
    In: Discussion Papers.
    RePEc:nwu:cmsems:1107.

    Full description at Econpapers || Download paper

  44. Differential information and dynamic behavior of stock trading volume. (1994). He, Hua ; He, Hua., .
    In: Working papers.
    RePEc:mit:sloanp:2531.

    Full description at Econpapers || Download paper

  45. Insider trading and market manipulations--existence and uniqueness of equilibrium. (1991). Rochet, Jean ; Vila, Jean-Luc., .
    In: Working papers.
    RePEc:mit:sloanp:2366.

    Full description at Econpapers || Download paper

  46. Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros. (1991). Caballe, Jordi.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:15:y:1991:i:1:p:3-34.

    Full description at Econpapers || Download paper

  47. Crash Testing the Efficient Market Hypothesis. (1988). French, Kenneth .
    In: NBER Chapters.
    RePEc:nbr:nberch:10957.

    Full description at Econpapers || Download paper

  48. Banking panics, information, and rational expectations equilibrium. (1988). Aiyagari, S..
    In: Working Papers.
    RePEc:fip:fedmwp:320.

    Full description at Econpapers || Download paper

  49. Speculative Behavior of Institutional Investors. (1986). Shiller, Robert ; Pound, John .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1964.

    Full description at Econpapers || Download paper

  50. Asset Prices in a Time Series Model with Disparately Informed, Competative Traders. (1986). Singleton, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1897.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 10:42:40 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.