A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information

Richardson, Matthew and Smith, Tom (1994) A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information. Journal of Financial and Quantitative Analysis, 29 1: 101-116. doi:10.2307/2331193


Author Richardson, Matthew
Smith, Tom
Title A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information
Journal name Journal of Financial and Quantitative Analysis   Check publisher's open access policy
ISSN 0022-1090
Publication date 1994-03-01
Sub-type Article (original research)
DOI 10.2307/2331193
Volume 29
Issue 1
Start page 101
End page 116
Total pages 16
Place of publication Cambridge, United Kingdom
Publisher Cambridge University Press
Language eng
Abstract This paper proposes and conducts direct tests of the mixture of distributions model for stock prices. By exploiting the model's bivariate conditional normality of price changes and trading volume, these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market. As a technical by product, important parameters governing the distribution of this unobservable information flow are estimated.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 48 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 10 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Thu, 24 May 2012, 19:42:51 EST by Karen Morgan on behalf of UQ Business School