IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v4y1995i2-3p85-105.html
   My bibliography  Save this article

Expectations, technological change, information and the theory of financial markets

Author

Listed:
  • Nawrocki, David N.

Abstract

No abstract is available for this item.

Suggested Citation

  • Nawrocki, David N., 1995. "Expectations, technological change, information and the theory of financial markets," International Review of Financial Analysis, Elsevier, vol. 4(2-3), pages 85-105.
    • Handle: RePEc:eee:finana:v:4:y:1995:i:2-3:p:85-105
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/1057-5219(95)90009-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Nicholas Georgescu-Roegen, 1979. "Methods in Economic Science," Journal of Economic Issues, Taylor & Francis Journals, vol. 13(2), pages 317-328, June.
    2. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    3. Walker, Donald A., 1989. "A Primer on Walrasian Theories of Economic Behavior," Journal of the History of Economic Thought, Cambridge University Press, vol. 11(1), pages 1-24, April.
    4. Tucker, Alan L, 1992. "A Reexamination of Finite- and Infinite-Variance Distributions as Models of Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 73-81, January.
    5. Herbert A. Simon, 1955. "A Behavioral Model of Rational Choice," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 69(1), pages 99-118.
    6. McGoun, Elton G., 1992. "On knowledge of finance," International Review of Financial Analysis, Elsevier, vol. 1(3), pages 161-177.
    7. Oldfield, George Jr. & Rogalski, Richard J. & Jarrow, Robert A., 1977. "An autoregressive jump process for common stock returns," Journal of Financial Economics, Elsevier, vol. 5(3), pages 389-418, December.
    8. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    9. John M. Cozzolino & Michael J. Zahner, 1973. "The Maximum-Entropy Distribution of the Future Market Price of a Stock," Operations Research, INFORMS, vol. 21(6), pages 1200-1211, December.
    10. Arrow, Kenneth J, 1982. "Risk Perception in Psychology and Economics," Economic Inquiry, Western Economic Association International, vol. 20(1), pages 1-9, January.
    11. Simon, Herbert A, 1979. "Rational Decision Making in Business Organizations," American Economic Review, American Economic Association, vol. 69(4), pages 493-513, September.
    12. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
    13. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    14. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-223, April.
    15. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-360, July.
    16. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
    17. Nawrocki, David, 1984. "Entropy, Bifurcation and Dynamic Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 19(2), pages 266-284, May.
    18. Morse, Dale, 1980. "Asymmetrical Information in Securities Markets and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1129-1148, December.
    19. Armen A. Alchian, 1950. "Uncertainty, Evolution, and Economic Theory," Journal of Political Economy, University of Chicago Press, vol. 58(3), pages 211-211.
    20. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    21. Kaen, Fred R & Rosenman, Robert E, 1986. "Predictable Behavior in Financial Markets: Some Evidence in Support ofHeiner's Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 212-220, March.
    22. Heiner, Ronald A, 1983. "The Origin of Predictable Behavior," American Economic Review, American Economic Association, vol. 73(4), pages 560-595, September.
    23. Ball, Clifford A. & Torous, Walter N., 1983. "A Simplified Jump Process for Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 53-65, March.
    24. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    25. Gale, Douglas M, 1986. "Bargaining and Competition Part I: Characterization," Econometrica, Econometric Society, vol. 54(4), pages 785-806, July.
    26. Akgiray, Vedat & Booth, G Geoffrey, 1988. "The Stable-Law Model of Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 51-57, January.
    27. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56(4), pages 279-279.
    28. Phillips, Herbert E., 1993. "Objectivist misinterpretations of Bayesian Nuances in portfolio theory and the models," International Review of Financial Analysis, Elsevier, vol. 2(2), pages 69-76.
    29. Groth, John C., 1979. "Security–Relative Information Market Efficiency: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 573-593, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. David Nawrocki & Tonis Vaga, 2014. "A bifurcation model of market returns," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 509-528, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pavel Pelikán, 2010. "The Government Economic Agenda in a Society of Unequally Rational Individuals," Kyklos, Wiley Blackwell, vol. 63(2), pages 231-255, May.
    2. Frankfurter, George M. & Phillips, Herbert E., 1996. "Normative implications of equilibrium models: Homogeneous expectations and other artificialities," Journal of Economic Behavior & Organization, Elsevier, vol. 31(1), pages 67-83, October.
    3. Gebhard Kirchgässner, 2013. "The Weak Rationality Principle in Economics," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(I), pages 1-26, March.
    4. Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
    5. Semen Son Turan, 2014. "Internet Search Volume and Stock Return Volatility: The Case of Turkish Companies," Information Management and Business Review, AMH International, vol. 6(6), pages 317-328.
    6. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    7. Pelikan, Pavel, 2006. "Markets vs. Government when Rationality is Unequally Bounded: Some Consequences of Cognitive Inequalities for Theory and Policy," Freiburg Discussion Papers on Constitutional Economics 06/5, Walter Eucken Institut e.V..
    8. Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society.
    9. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
    11. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
    13. Schilirò, Daniele & Graziano, Mario, 2011. "Scelte e razionalità nei modelli economici: un'analisi multidisciplinare [Choices and rationality in economic models: a multidisciplinary analysis]," MPRA Paper 31910, University Library of Munich, Germany.
    14. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
    15. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
    16. David McMillan & Alan Speight, 2002. "Return-volume dynamics in UK futures," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 707-713.
    17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    18. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
    19. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    20. García Iborra, Rafael & Howden, David, 2016. "Uses and Misuses of Arbitrage in Financial Theory, and a Suggested Alternative," MPRA Paper 79802, University Library of Munich, Germany.

    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:eee:finana:v:4:y:1995:i:2-3:p:85-105. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    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.