An application of auction theories to price-trading volume correlations

Watanabe, Taiji (2004) An application of auction theories to price-trading volume correlations. Atlantic Economic Journal, 32 (1). p. 67.

Abstract

Studies on correlations between price and trading volume changes brought some evidence that identified whether price movements are effected by increases in trading volumes. Most empirical studies have a framework under a rational expectations hypothesis and assumed asymmetric information among traders. An explanation under a more general theoretical frameworks is proposed with auction theories.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Author's version not available.
Depositing User: Dr Taiji Watanabe
Faculty / Department / School: Historic - Faculty of Business - Department of Economics and Resource Management
Date Deposited: 21 Feb 2012 01:36
Last Modified: 03 Jul 2013 01:04
Fields of Research (FOR2008): 14 Economics > 1401 Economic Theory > 140104 Microeconomic Theory
14 Economics > 1401 Economic Theory > 140103 Mathematical Economics
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics
Identification Number or DOI: doi: 10.1007/BF02298620
URI: http://eprints.usq.edu.au/id/eprint/20831

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