Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs

dc.contributor.author	Hua, Cheng
dc.date.accessioned	2010-05-03T10:09:45Z
dc.date.available	2010-05-03T10:09:45Z
dc.date.issued	2006
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/4074
dc.language.iso	en	en
dc.subject	Trading Volume	en
dc.subject	Volatility	en
dc.subject	Autocorrelation	en
dc.subject.ddc	332	en
dc.subject.classificationjel	D82	en
dc.subject.classificationjel	G12	en
dc.subject.classificationjel	G14	en
dc.title	Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs	en
dc.type	Communication / Conférence
dc.description.abstracten	We develop a dynamic model in which traders have differential information about the payoff of the risky asset and trade the risky asset with proportional transaction costs. Firstly, trading volume provides useful information on the asset fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by proportional transaction costs. Thirdly, we show that return volatility may be and generally is increasing in proportional transaction costs, which is contrary to Stiglitz 1989, Summers & Summers 1989's reasoning but is consistent with Umlauf 1993 and Jones & Seguin 1997's empirical results.	en
dc.identifier.citationpages	40	en
dc.description.sponsorshipprivate	oui	en
dc.subject.ddclabel	Economie financière	en
dc.relation.conftitle	European Economic Association & Econometric Society	en
dc.relation.confdate	2006-08
dc.relation.confcity	Vienne	en
dc.relation.confcountry	Autriche	en

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