Journal
REVIEW OF FINANCIAL STUDIES
Volume 23, Issue 1, Pages 203-246Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhp021
Keywords
-
Categories
Ask authors/readers for more resources
In a market with informationally connected traders, the dynamics of volume, price informativeness, price volatility, and liquidity are severely affected by the information linkages every trader experiences with his peers. We show that in the presence of information linkages among traders, volume and price informativeness increase. Moreover, we find that information linkages improve or damage market depth, and lower or boost the Traders' profits, according to whether these linkages convey positively or negatively correlated signals. Finally, our model predicts patterns of trade correlation consistent with those identified in the empirical literature: trades generated by neighbor traders are positively correlated and trades generated by distant traders are negatively correlated.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available