An empirical examination of information, differences of opinion, and trading activity

被引：128

作者：

Bessembinder, H ^{[1
]}

Chan, K ^{[1
]}

Seguin, PJ ^{[1
]}

机构：

[1] UNIV MICHIGAN,SCH BUSINESS,ANN ARBOR,MI 48109

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1996年 / 40卷 / 01期

关键词：

volume; volatility; information hows; futures markets; open interest;

D O I：

10.1016/0304-405X(95)00839-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the relations between trading volumes and our proxies for information flows and divergences in opinions. We view S&P 500 Index futures' open interest as a useful proxy for divergences of traders' opinions, and find that volumes are higher on days when open interest increases than on days with declines. Volume in individual equities is more closely related to firm-specific information flows, while equity basket volume is more closely associated with market information. This differential impact is greatest for small capitalization stocks where market-wide news has no explanatory power.

引用

页码：105 / 134

页数：30

共 38 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].