A Rational Expectations Equilibrium with Informative Trading Volume
Author
Abstract
Suggested Citation
DOI: 10.1111/j.1540-6261.2009.01517.x
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bond, Philip & Eraslan, Hülya, 2010.
"Information-based trade,"
Journal of Economic Theory, Elsevier, vol. 145(5), pages 1675-1703, September.
- Hulya Eraslan & Philip Bond, 2008. "Information Based Trade," 2008 Meeting Papers 1012, Society for Economic Dynamics.
- Xiao Li & Linda Du, 2023. "Bitcoin daily price prediction through understanding blockchain transaction pattern with machine learning methods," Journal of Combinatorial Optimization, Springer, vol. 45(1), pages 1-24, January.
- Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).
- Hau, Liya & Zhu, Huiming & Shahbaz, Muhammad & Sun, Wuqin, 2021. "Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Urom, Christian & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Dynamic dependence and predictability between volume and return of Non-Fungible Tokens (NFTs): The roles of market factors and geopolitical risks," Finance Research Letters, Elsevier, vol. 50(C).
- Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
- Jean-Edouard Colliard, 2017. "Catching Falling Knives: Speculating on Liquidity Shocks," Management Science, INFORMS, vol. 63(8), pages 2573-2591, August.
- Ngene, Geoffrey M. & Mungai, Ann Nduati, 2022. "Stock returns, trading volume, and volatility: The case of African stock markets," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
- Gupta, Suman & Das, Debojyoti & Hasim, Haslifah & Tiwari, Aviral Kumar, 2018. "The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach," Finance Research Letters, Elsevier, vol. 27(C), pages 91-98.
- Aris Kartsaklas, 2018. "Trader Type Effects On The Volatility‐Volume Relationship Evidence From The Kospi 200 Index Futures Market," Bulletin of Economic Research, Wiley Blackwell, vol. 70(3), pages 226-250, July.
- Zhou, Deqing & Wang, Wenjie, 2020. "Insider, outsider and information heterogeneity," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
- repec:esx:essedp:720 is not listed on IDEAS
- Eduardo Dávila & Cecilia Parlatore, 2021.
"Trading Costs and Informational Efficiency,"
Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
- Cecilia Parlatore & Eduardo Davila, 2016. "Trading Costs and Informational Efficiency," 2016 Meeting Papers 494, Society for Economic Dynamics.
- Eduardo Dávila & Cecilia Parlatore, 2019. "Trading Costs and Informational Efficiency," NBER Working Papers 25662, National Bureau of Economic Research, Inc.
- Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
- Michael Sockin & Wei Xiong, 2020. "A Model of Cryptocurrencies," NBER Working Papers 26816, National Bureau of Economic Research, Inc.
- Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
- M. Kannadhasan & Pankaj Singh & Parikshit Charan & Pavan Kumar Balivada, 2018. "Personality characteristics and the process of start-up: the moderating role of institutional environment," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 287-300, December.
- Ding, Jing & Fang, Libing & Chen, Shi, 2020. "Mitigating free riding in social networks: The impact of underestimating others’ ability in financial market," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 582-599.
- Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, January.
- Kim, Junwoo & Kim, Robert & Kim, Sangwan, 2020. "Does financial statement comparability mitigate delayed trading volume before earnings announcements?," Journal of Business Research, Elsevier, vol. 107(C), pages 62-75.
- Bing Han & Liyan Yang, 2013. "Social Networks, Information Acquisition, and Asset Prices," Management Science, INFORMS, vol. 59(6), pages 1444-1457, June.
- Ganguli, Jayant & Condie, Scott, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers 5631, University of Essex, Department of Economics.
- Iuliia Brushko & Stephen P. Ferris & Jan Hanousek & Jiri Tresl, 2020. "Intra-Industry Transfer of Information Inferred From Trading Volume," CERGE-EI Working Papers wp663, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:64:y:2009:i:6:p:2783-2805. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.