Information Linkages and Correlated Trading

• 成果类型: Article
• 署名作者: Colla, Paolo; Mele, Antonio
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp021
• 发表日期: 2010
• 页码: 203
• 关键词: portfolio; volume; BIAS

摘要

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.