Trade size, order imbalance, and the volatility-volume relation

Journal of Financial Economics

Volumn 57, Issue 2, 2000, Pages 247-273

  Chan, Kalok ^a   Fong, Wai Ming ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

G10; G12; G13; Number of trades; Order imbalance; Size of trades; SOES; Volume volatility relation

Indexed keywords

EID: 0001680118     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(00)00057-X     Document Type: Article

References (39)

1. Admati A., Pfleiderer P. A theory of intraday patterns: volume and price variability. Review of Financial Studies. 1:1988;3-40.
2. Barclay M., Warner J. Stealth trading and volatility. Journal of Financial Economics. 34:1993;281-305.
3. Battalio R., Hatch B., Jennings R. SOES trading and market volatility. Journal of Financial and Quantitative Analysis. 32:1997;225-238.
4. Bessembinder H., Seguin P. Futures-trading activity and stock price volatility. Journal of Finance. 47:1992;2015-2034.
5. Bessembinder H., Seguin P. Price volatility, trading volume, and market depth: evidence from futures markets. Journal of Financial and Quantitative Analysis. 28:1993;21-40.
6. Bessembinder H., Kaufman H. A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks. Journal of Financial Economics. 46:1997;293-320.
7. Chung K., Van Ness B., Van Ness R. Limit orders and the bid-ask spread. Journal of Financial Economics. 53:1999;255-288.
8. Coughenour, J., 1999. Volume, volatility, and the frequency distribution of trade size. Unpublished working paper. University of Pittsburgh.
9. Daigler R., Wiley M. The impact of trader type on the futures volatility-volume relation. Journal of Finance. 54:1999;2297-2316.
10. Easley D., O'Hara M. Prices, trade size and information in security markets. Journal of Financial Economics. 19:1987;69-90.
11. Easley D., Kiefer N., O'Hara M. The information content of the trading process. Journal of Empirical Finance. 4:1997;159-186.
12. Easley D., Kiefer N., O'Hara M. One day in the life of a very common stock. Review of Financial Studies. 10:1997;805-835.
13. Epps T., Epps M. The stochastic dependence of security price changes and transaction volumes: Implications for the mixture-of-distributions hypothesis. Econometrica. 44:1976;305-321.
14. Gallant R., Rossi P., Tauchen G. Stock prices and volume. Review of Financial Studies. 5:1992;199-242.
15. Gibbons M., Shanken J. Subperiod aggregation and the power of multivariate tests of portfolio efficiency. Journal of Financial Economics. 19:1987;389-394.
16. Glosten L., Harris L. Estimating the components of the bid/ask spread. Journal of Financial Economics. 21:1988;123-142.
17. Grundy B., McNichols M. Trade and revelation of information through prices and direct disclosure. Review of Financial Studies. 2:1989;495-526.
18. Harris L. Cross-security tests of the mixture of distributions hypothesis. Journal of Financial and Quantitative Analysis. 21:1986;39-46.
19. Harris L. A day-end transaction price anomaly. Journal of Financial and Quantitative Analysis. 24:1989;29-45.
20. Harris M., Raviv A. Differences of opinion make a horse race. Review of Financial Studies. 6:1993;473-506.
21. Harris J., Schultz P. The importance of firm quotes and rapid executions: evidence from the January 1994 SOES rules change. Journal of Financial Economics. 45:1997;135-166.
22. Holthausen R., Verrecchia R. The effect of informedness and consensus on price and volume behavior. Accounting Review. 65:1990;191-208.
23. Huang, R., Masulis, R., Ng, V., 1996. Trading activity and price volatility on the London Stock Exchange. Unpublished working paper, Vanderbilt University.
24. Huang R., Stoll H. Dealer versus auction markets: A paired comparison of execution costs on Nasdaq and the NYSE. Journal of Financial Economics. 41:1996;313-357.
25. Huang R., Stoll H. The components of the bid-ask spread: a general approach. Review of Financial Studies. 10:1997;995-1034.
26. Jones C., Kaul G., Lipson M. Transactions, volume and volatility. Review of Financial Studies. 7:1994;631-652.
27. Karpoff J. The relation between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis. 22:1987;109-126.
28. Kim O., Verrecchia R. Market reactions to anticipated announcements. Journal of Financial Economics. 30:1991;273-310.
29. Kyle A. Continuous auctions and insider trading. Econometrica. 53:1985;1315-1335.
30. Lee C., Ready M. Inferring trade direction from intradaily data. Journal of Finance. 46:1991;733-746.
31. Lin J., Sanger G., Booth G. Trade size and components of the bid-ask spread. Review of Financial Studies. 8:1995;1153-1184.
32. Madhavan A., Richardson M., Roomans M. Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies. 10:1997;1035-1064.
33. NASD Department of Economic Research, 1993. Impact of SOES Active Trading Firms on Nasdaq Market Quality. Unpublished Report.
34. Odders-White E. On the occurrence and consequences of inaccurate trade classification. Unpublished working paper. 1999;University of Wisconsin, Madison.
35. Schwert, G., 1989. Why does stock volatility change over time? Journal of Finance 44, 1115-1154.
36. Schwert G. Stock volatility and the crash of 87. Review of Financial Studies. 3:1990;77-102.
37. Tauchen G., Pitts M. The price variability-volume relationship on speculative markets. Econometrica. 51:1983;485-505.
38. Varian H. Divergence of opinion in complete markets: a note. Journal of Finance. 40:1985;309-317.
39. Varian, H., 1989. Differences of opinion in financial markets. In: Stone, C. (Ed.), Financial risk: theory, evidence and implications, Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis. Kluwer, Boston, pp. 3-37.