Differential Information and Dynamic Behavior of Stock Trading Volume

58 Pages Posted: 7 Aug 2000 Last revised: 20 Sep 2010

See all articles by Hua He

Hua He

Yale University - School of Management; Fudan University - International Finance

Jiang Wang

Massachusetts Institute of Technology (MIT) - Sloan School of Management; China Academy of Financial Research (CAFR); National Bureau of Economic Research (NBER)

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Date Written: February 1995

Abstract

This paper develops a multi-period 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.

Suggested Citation

He, Hua and Wang, Jiang, Differential Information and Dynamic Behavior of Stock Trading Volume (February 1995). NBER Working Paper No. w5010, Available at SSRN: https://ssrn.com/abstract=225789

Hua He (Contact Author)

Yale University - School of Management ( email )

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HOME PAGE: http://som.yale.edu/~hh78/

Fudan University - International Finance

Shanghai
China

Jiang Wang

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

E62-614
100 Main Street
Cambridge, MA 02142
United States
617-253-2632 (Phone)
617-258-6855 (Fax)

China Academy of Financial Research (CAFR)

1954 Huashan Road
Shanghai P.R.China, 200030
China

National Bureau of Economic Research (NBER)

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United States

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