Article1995

Differential Information and Dynamic Behavior of Stock Trading Volume

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

This article develops a multiperiod rational expectations model of stock trading in which investors have differential information concerning the underlying value of the stock. Investors trade competitively in the stock market based on their private information and the information revealed by the market-clearing prices, as well as other public news. We examine how trading volume is related to the information flow in the market and how investors’ trading reveals their private information.

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References

1985Continuous Auctions and Insider Trading 1971Optimum consumption and portfolio rules in a continuous-time model 1980On the Impossibility of Informationally Efficient Markets 1980On the Impossibility of Informationally Efficient Markets 1988A Theory of Intraday Patterns: Volume and Price Variability 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1968The Information Content of Annual Earnings Announcements 1982Information, trade and common knowledge

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