The Intraday Relation between Return Volatility, Transactions and Volume

• Main Authors: WU, Chunchi, Xu, X.E.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1999
• 主題: Business
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/849
• 機構: Singapore Management University

In this article, we examine the relation between return volatility, average trade size, and the frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (1994)(. Review of Financial Studies, 7, 631–651), our results show that the frequency of trades has a high explan...