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

• 成果类型: Article
• 署名作者: Bessembinder, H; Chan, K; Seguin, PJ
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00839-7
• 发表日期: 1996
• 页码: 105-134
• 关键词: VOLUME; volatility; information hows; FUTURES MARKETS; open interest

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.