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Bid‐ask Spreads, Trading Volume and Volatility: Intra‐day Evidence from the London Stock Exchange
5 references·11 citing·45 second hop
Bid‐ask Spreads, Trading Volume and Volatility: Intra‐day Evidence from the London Stock Exchange (1997)Bid‐ask Spreads, Trading Volume and Volat…Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange (1995)Securities Trading in the Abs…Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Acti…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Bitcoin futures: trade it or ban it? (2019)Bitcoin futures: trade it or …Intraday Anomalies and Market Efficiency: A Trading Robot Analysis (2015)Intraday Anomalies and Market…Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market (2013)Expiration‐Day Effects and th…The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange (2012)The Intraday Pattern of Tradi…The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 (2011)The Intraday Behaviour of Bid…The intraday effect and the extension of trading hours for Taiwanese securities (2006)The intraday effect and the e…Short-run and long-run determinants of the price of gold (2006)Short-run and long-run determ…Quantifying fluctuations in market liquidity: Analysis of the bid-ask spread (2005)Quantifying fluctuations in m…Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange (2004)Intra Day Bid‐Ask Spreads, Tr…BID‐ASK SPREAD COMPONENTS IN AN ORDER‐DRIVEN ENVIRONMENT (1999)BID‐ASK SPREAD COMPONENTS IN …Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong (1998)Inter- and intra-day liquidit…Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)An uncertain suggestion for gold-pricing models: the effect of economic policy uncertainty on gold prices (2014)Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016 (2017)Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan (2019)The General Theory of Employment, Interest and Money. (1936)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)The cross-section of intraday and overnight returns (2021)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)The ex-dividend-day behavior of stock prices: the case of Japan (1995)How Does Liquidity React to Stress Periods in a Limit Order Market? 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(2019)The role of binance in bitcoin volatility transmission (2022)Asset pricing and the bid-ask spread (1986)Informed and Uninformed Trading in an Electronic, Order‐Driven Environment (2000)The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney (2004)The Sarbanes‐Oxley Act of 2002 and Market Liquidity (2008)Inferring Trade Direction from Intraday Data (1991)A long memory property of stock market returns and a new model (1993)Relation between volatility correlations in financial markets and Omori processes occurring on all scales (2007)Indication of multiscaling in the volatility return intervals of stock markets (2008)Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems (2014)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1992Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close187 cited
  • 1995Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange169 cited

Cited by

  • 2006Short-run and long-run determinants of the price of gold159 cited
  • 1999BID‐ASK SPREAD COMPONENTS IN AN ORDER‐DRIVEN ENVIRONMENT87 cited
  • 2005Quantifying fluctuations in market liquidity: Analysis of the bid-ask spread86 cited
  • 2004Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange61 cited
  • 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX3041 cited
  • 1998Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong41 cited
  • 2012The Intraday Pattern of Trading Activity, Return Volatility and Liquidity: Evidence from the Emerging Tunisian Stock Exchange26 cited
  • 2013Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market25 cited
  • 2006The intraday effect and the extension of trading hours for Taiwanese securities

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25 cited
  • 2015Intraday Anomalies and Market Efficiency: A Trading Robot Analysis23 cited
  • 2019Bitcoin futures: trade it or ban it?23 cited