The dynamics of strategic information flows in stock markets

Seiler, P. and Taub, B. (2008) The dynamics of strategic information flows in stock markets. Finance and Stochastics, 12(1), pp. 43-82. (doi:10.1007/s00780-007-0046-4)

Full text not currently available from Enlighten.

Abstract

We model a stock market with multiple stocks in a dynamic setting. Multiple informed traders receive new and heterogeneous information about the stocks in each period and use this information strategically. We characterize the decay rate of the information as it is incorporated into prices. The presence of multiple assets speeds information release by providing more channels for market makers to acquire information and incorporate that information in prices. The result is not only that profits are reduced in multi-asset settings, but that information release tilts toward new information relative to old information, reducing the profits that can be acquired by privately informed traders.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Taub, Professor Bart
Authors: Seiler, P., and Taub, B.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Finance and Stochastics
Publisher:Springer-Verlag
ISSN:0949-2984
ISSN (Online):1432-1122

University Staff: Request a correction | Enlighten Editors: Update this record