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VPIN, liquidity, and return volatility in the U.S. equity markets · Study

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ArticleVPIN, liquidity, and return volatility in the U.S. equity markets

Serhat Yildiz2019

Article2019

VPIN, liquidity, and return volatility in the U.S. equity markets

Serhat Yildiz · Bonnie F. Van Ness · Robert A. Van Ness

15 citations·0/0 files stored·Global Finance Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2002Illiquidity and stock returns: cross-section and time-series effects 1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1980On the Impossibility of Informationally Efficient Markets 1980On the Impossibility of Informationally Efficient Markets 1991Inferring Trade Direction from Intraday Data 1987Price, trade size, and information in securities markets 1986Stock return variances

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Year2019

Typearticle

Published2019-06-20

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations15

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.gfj.2019.100479

openalex_workW2951276673

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