IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v7y1997i4p375-398.html
   My bibliography  Save this article

Market Participation and Share Prices

Author

Listed:
  • Gerhard O. Orosel

Abstract

Share prices are analyzed in an overlapping generations model in which the generational size is random. This models stochastic fluctuations of market participants and can explain noninformational volatility of share prices. There exists a (stochastic) stationary equilibrium, which may be nonunique. In equilibrium, (a) the share price increases and (b) expected utility decreases with the generational size. A decline of this size below a critical level induces a crash: the stock price falls substantially, shares are undervalued, and investors’ demand is restricted by illiquidity. Further, the model predicts the empirically observed positive correlation between volume of trade and absolute price changes.

Suggested Citation

  • Gerhard O. Orosel, 1997. "Market Participation and Share Prices," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 375-398, October.
    • Handle: RePEc:bla:mathfi:v:7:y:1997:i:4:p:375-398
    DOI: 10.1111/1467-9965.00037
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9965.00037
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9965.00037?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Phillip McKnight & Anthony Lowrie & Chris Coles, 2002. "Investor Reactions, Social Implications and Layoff Announcements in the UK: A Comparison between Periods," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 6(1), pages 83-100, March.
    2. Wioletta Nawrot, 2006. "Wpływ popytu na akcje notowane na Giełdzie Papierów Wartościowych w Warszawie na płynność rynku," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 7-8, pages 59-81.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:7:y:1997:i:4:p:375-398. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.