Ambiguity and Informativeness of (Non-)Trading

We study a sequential trading mechanism with ambiguity-averse agents modeled by multiple prior preferences. Informed traders employ mixed trading strategies, and their trading probability decreases with the level of ambiguity. If agents are sufficiently ambiguous, informed traders do not trade, and only noise traders place orders; trading becomes uninformative. An informational cascade can exist even with endogenous prices and continuous action spaces. When private signals are ambiguous, trading injects ambiguity of private signals into the public beliefs, and it converges to an informational cascade. Moreover, since informed traders may not trade, no-trade can also be informative