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## The price variability-volume relationship on speculative markets (1983)

Venue: | Econometrica |

Citations: | 211 - 6 self |

### Citations

559 | A subordinated stochastic process model with finite variance for speculative prices”,
- Clark
- 1973
(Show Context)
Citation Context ...peculativesmarkets.s1. INTRODUCTIONsTHIS PAPER CONCERNS the relationship between the variability of the daily priceschange and the volume of trading on speculative markets. Previous empiricalsstudies =-=[2, 3, 6, 12, 14, 16]-=- of both futures and equity markets always find aspositive association between price variability (as measured by the squared priceschange Ap2) and the trading volume.2 There are two explanations for t... |

390 |
On the Impossibility of Informationally Efficient
- Grossman, Stiglitz
- 1980
(Show Context)
Citation Context ...nly a few simple parameters. This result is particularlyshelpful in implementing and interpreting the empirical work. There is, however,sanother class of full-equilibrium rational expectations models =-=[5, 7]-=- which suggeststhat there is an interaction effect among the traders, and that at a fixed point instime the number of futures contracts per trader may decline as the marketsexpands. This in turn sugge... |

184 |
Information Aggregation in Noisy Rational Expectations Economy."
- Diamond, Verrecchia
- 1981
(Show Context)
Citation Context ...nly a few simple parameters. This result is particularlyshelpful in implementing and interpreting the empirical work. There is, however,sanother class of full-equilibrium rational expectations models =-=[5, 7]-=- which suggeststhat there is an interaction effect among the traders, and that at a fixed point instime the number of futures contracts per trader may decline as the marketsexpands. This in turn sugge... |

136 |
The stochastic dependence of security price changes and transaction volumes: Implications for the mixtureof-distributions hypothesis
- Epps, Epps
- 1976
(Show Context)
Citation Context ...peculativesmarkets.s1. INTRODUCTIONsTHIS PAPER CONCERNS the relationship between the variability of the daily priceschange and the volume of trading on speculative markets. Previous empiricalsstudies =-=[2, 3, 6, 12, 14, 16]-=- of both futures and equity markets always find aspositive association between price variability (as measured by the squared priceschange Ap2) and the trading volume.2 There are two explanations for t... |

16 |
The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models,” The Journal of Financial and Quantitative Analysis,
- Westerfield
- 1977
(Show Context)
Citation Context ... not detectable given the very fine level ofstemporal disaggregation at which we work.s7The stable paretian, of course, is another possibility. We choose not to work with it because theresis evidence =-=[2, 6, 14, 15]-=- that, when compared with the normal mixture model, the stable paretiansgives a poorer fit to the marginal distribution of the daily price change.sThis content downloaded by the authorized user from 1... |

9 |
Stock Market Prices and Volume of Sales
- YING
- 1966
(Show Context)
Citation Context ...peculativesmarkets.s1. INTRODUCTIONsTHIS PAPER CONCERNS the relationship between the variability of the daily priceschange and the volume of trading on speculative markets. Previous empiricalsstudies =-=[2, 3, 6, 12, 14, 16]-=- of both futures and equity markets always find aspositive association between price variability (as measured by the squared priceschange Ap2) and the trading volume.2 There are two explanations for t... |

4 |
The stable paretian distribution, subordinate stochastic processes, and asymptotic lognormality: An empirical investigation.
- Upton, Shannon
- 1979
(Show Context)
Citation Context |

2 | The treasury-bill futures market, - Jacobs, Jones - 1980 |

1 |
Analysis of Covariance with Qualitative Data
- CIIAMBERLAIN
(Show Context)
Citation Context ...er al is the standard deviation of the daily price change and L2 is thesmean daily trading volume. The parameter a2 is related to the variance of thesdaily volume bysa, = /Var[ V] -i(c)swhere cv = Var=-=[1]-=- /E[I] is the coefficient of variation of the mixing variable.s3. ESTIMATIONs3.1. The DatasThe sample is described in more detail in the Appendix. It consists of 876sobservations on the daily price ch... |

1 | HOBSON: Survey of Interest-Rate Futures - JAFFE, B - 1979 |