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BukuA Theory of Trading Volume(in The Journal of Finance, Vol. 41, No. 5)
Author: Karpoff, Jonathan M.
Topik: Trading Volume
Bahasa: (EN )    Edisi: Dec 1986    
Penerbit: Blackwell Publishing     Tempat Terbit: Malden    Tahun Terbit: 1986    
Jenis: Article - diterbitkan di jurnal ilmiah internasional
Fulltext: 2328164.pdf (492.97KB; 4 download)
A theory of trading volume is developed based on assumptions that market agents
frequently revise their demand prices and randomly encounter potential trading partners.
The model describes two distinct ways informational events affect trading volume.
One is consistent with conjectures made by empirical researchers that investor disagreement
leads to increased trading. But the observation of abnormal trading volume
does not necessarily imply disagreement, and volume can increase even if investors
interpret the information identically, if they also have had divergent prior expectations.
Simulation tests support the model and are used to contrast the random-pairing
environment with costless market clearing. Volume is lower in the costly market, and
volume increases caused by an informational event persist after the event period. This
is consistent with existing empirical evidence and suggests that markets do not immediately
clear all orders or that investors have demands to recontract.
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