Information dissemination, market efficiency and the frequency of transactions

On The Dynamic Behavior of Prices in Disequilibrium

“…(cf. Grossman and Stiglitz 1976, Goldman and Sosin 1979). Still in the equilibrium framework, do speculators create a risk sharing mechanism by participating in the market?…”

Implications of Microstructure Theory for Empirical Research on Stock Price Behavior

“…In Cohen‐Maier‐Schwartz‐Whitcomb [CMSW] (1979b), we argue that such non‐continuous trading accounts for spreads in markets composed of many traders posting bid and/or ask quotes. Goldman‐Beja's (1979) model of the dynamic behavior of stock prices, based on a distinction between actual price and a theoretical, frictionless equilibrium price, yields implications concerning variance, correlation, and the role of the specialist. Goldman‐Sosin (1979) model the manner in which the interaction of risk‐neutral speculators and risk averse investors leads to the delayed impounding in market price of new information when information is not freely and instantaneously available.…”

Stock market surveillance and market performance: The case of Taiwan

“…Others argue that trading halts may foster the decline in stock prices and increase the price volatility (Kyle, 1988). Goldman and Sosin (1992) suggest that trading halts may improve the efficiency of the market if there is a high level of uncertainty. On the other hand, Madhavan (1992) points out that if the change in price is due to fundamental reasons, trading halts may damage the efficiency of the market.…”