Noise Trading and Volatility: Evidence from Day Trading and Message Boards
作者： Jennifer L. Koski , Edward M. Rice , Ali Tarhouni
DOI: 10.2139/SSRN.533943
关键词:
摘要: This paper tests the hypothesis that noise trading increases volatility. We argue day traders are traders, and we use stock message board postings on Raging Bull Yahoo to proxy for trading. find evidence volatility a sample of large NASDAQ stocks during 3rd quarter 1999. Regulators have expressed concern destabilizes prices. Although support argument causes some increase in volatility, our results suggest direction causation is primarily reverse.
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