Asset price volatility and trading volume with rational beliefs

被引：18

作者：

Wu, HM ^{[1
]}

Guo, WC

机构：

[1] Natl Taiwan Univ, Dept Int Business, Taipei 10764, Taiwan

[2] Natl Taiwan Univ, Dept Econ, Taipei 10764, Taiwan

[3] Yuan Ze Univ, Dept Finance, Chungli, Taiwan

来源：

ECONOMIC THEORY | 2004年 / 23卷 / 04期

关键词：

price volatility; trading volume; speculation; rational beliefs;

D O I：

10.1007/s00199-003-0397-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a model of speculative trading in a large economy with a continuum of investors. In our model the investors are assumed to have diverse beliefs which are rational in the sense of being compatible with observed data. We demonstrate the existence of price amplification effects and show that the equilibrium prices can be higher or lower than the rational expectation equilibrium price. It is also shown that trading volume is positively related to the directions of price changes. Moreover, we study how asset price volatility and trading volume are influenced by belief structures, short selling constraints and the amount of fund available for investment.

引用

页码：795 / 829

页数：35