Differential Information and Dynamic Behavior of Stock Trading Volume

He, Hua; Wang, Jiang

Differential Information and Dynamic Behavior of Stock Trading Volume

REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4

Posted: 13 Jul 1998

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)

There are 2 versions of this paper

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.

JEL Classification: G19

Suggested Citation: Suggested Citation

He, Hua and Wang, Jiang, Differential Information and Dynamic Behavior of Stock Trading Volume. REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 4, Available at SSRN: https://ssrn.com/abstract=7013