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Asset Price Variability under Asymmetric Information

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  • Black, Jane
  • Tonks, Ian

Abstract

This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. The authors consider equilibrium in the asset market before the information is revealed to a subset of traders. They find that ex ante price variability is increased by a rise in the proportion of informed market participants. Copyright 1990 by Royal Economic Society.

Suggested Citation

  • Black, Jane & Tonks, Ian, 1990. "Asset Price Variability under Asymmetric Information," Economic Journal, Royal Economic Society, vol. 100(400), pages 67-77, Supplemen.
    • Handle: RePEc:ecj:econjl:v:100:y:1990:i:400:p:67-77
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    Cited by:

    1. Jane Black & Ian Tonks, 2000. "Time series volatility of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(2), pages 127-144, February.
    2. Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
    3. Torben M. Andersen, 1992. "Differential information and excessive volatility in financial markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(1), pages 3-11, Spring.

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