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文章基本信息

  • 标题:Information Flow And Trading Dynamics: A Theoretical Approach
  • 作者:Megan Y. Sun
  • 期刊名称:Journal of Business & Economics Research
  • 印刷版ISSN:1542-4448
  • 电子版ISSN:2157-8893
  • 出版年度:2009
  • 卷号:7
  • 期号:4
  • 语种:English
  • 出版社:The Clute Institute for Academic Research
  • 摘要:This paper constructs a theoretical mixture of distributions model to describe the impacts of permanent fundamental, transitory fundamental, and non-fundamental shocks on returns, volatility and volume. Under the assumption that informed traders share homogenous fundamental information, we find that only contemporaneous noise trading contributes to the generation of trading volume. This theoretical model provides us with three identifying restrictions that can be readily imposed on a trivariate SVAR model to empirically estimate the impacts of the three shocks on returns, volatility, and volume. Using this model, we find that Microsoft stock prices are not very sensitive to noise trading.
  • 关键词:permanent shocks;transitory shocks;non-fundamental shocks;trading volume;returns;volatility
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