Intra day bid-ask spreads, trading volume and volatility: Recent empirical evidence from the London stock exchange

Journal of Business Finance and Accounting

Volumn 31, Issue 5-6, 2004, Pages 647-676

  Cai, Charlie X ^a   Hudson, Robert ^a   Keasey, Kevin ^a  

^a UNIVERSITY OF LEEDS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 29244483190     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.0306-686X.2004.00552.x     Document Type: Article

References (38)

1. Abhyankar, A., D. Ghosh, E. Levin and R.J. Limmack (1997), 'Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange', Journal of Business Finance & Accounting, Vol. 24, pp. 343-62.
2. Admati, A. and P. Pfleiderer (1988), 'A Theory of Intra-day Patterns: Volume and Price Variability', Review of Financial Studies, Vol. 1, pp. 3-40.
3. Ahn, H.J and Y.L. Cheung (1999), 'The Intra-day Patterns of the Spread and Depth in a Market without Market Makers: The Stock Exchange of Hong Kong', Pacific Basin Finance Journal, Vol. 7, pp. 539-56.
4. Andersen, T.G., T. Bollerslev and J. Cai (2000), 'Intra-day and Interday Volatility in the Japanese Stock Market', Journal of International Financial Markets, Institutions and Money, Vol. 10, pp. 107-30.
5. Atkins, A.B. and S. Basu (1995), 'The Effect of After-Hours Announcements on the Intra-day U-Shaped Volume Pattern', Journal of Business Finance & Accounting, Vol. 22, pp. 789-809.
6. Brock, W.A. and A.W. Kleidon (1992), 'Periodic Market Closure and Trading Volume: A Model of Intra Day Bids and Asks', Journal of Economic Dynamics and Control, Vol. 16, pp. 451-89.
7. Chan, K.C., W.G. Christie and P.H. Schultz (1995), 'Market Structure and the Intra Day Pattern of Bid-Ask Spreads for Nasdaq Securities', Journal of Business, Vol. 68, pp. 35-60.
8. Cheung, Y.L. (1995), 'Intra Day Returns and the Day-End Effect: Evidence from the Hong Kong Equity Market', Journal of Business Finance & Accounting, Vol. 22, pp. 1023-34.
9. Ding, D.K. and S.T. Lau (2001), 'An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions', Journal of Business Finance & Accounting, Vol. 28, pp. 151-72.
10. Ellul, A. (2001), 'The Dealers Ride Again: Volatility and Order Flow Dynamics in a Hybrid Market', Working Paper (London School of Economics, Financial Markets Group).
11. -, H.S. Shin and I. Tonks (2002), 'Toward Deep and Liquid Markets: Lessons from the Open and Close at the London Stock Exchange', Working Paper (London School of Economics, Financial Markets Group).
12. Foster, F. and S. Viswanathan (1990), 'A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets', Review of Financial Studies, Vol. 3, pp. 593-624.
13. French, K.R and R. Roll (1986), 'Stock Return Variances: The Arrival of Information and the Reactions of Traders', Journal of Financial Economics, Vol. 17, pp. 5-26.
14. Gerety, M.S. and J.H. Mulherin (1992), 'Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close', Journal of Finance, Vol. 5, pp. 1765-811.
15. Glosten, L.R. and P.R. Milgrom (1985), 'Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders', Journal of Financial Economics, Vol. 14, pp. 71-100.
16. Hamao, Y. and J. Hasbrouck (1995), 'Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange', Review of Financial Studies, Vol. 8, pp. 849-78.
17. Hansen, L. (1982), 'Large Sample Properties of Generalized Method of Moments Estimators', Econometrica, Vol. 50, pp. 1029-54.
18. Harris, L. (1986), 'A Transaction Data Study of Weekly and Intra Day Patterns in Stock Returns', Journal of Financial Economics, Vol. 16, pp. 99-118.
19. Ho, R. and Y.L. Cheung (1994), 'Seasonal Pattern in Volatility in Asian Stock Markets', Journal of International Financial Markets, Institutions and Money, Vol. 4, pp. 61-67.
20. Jain, P.C. and G.H. Joh (1988), 'The Dependence Between Hourly Prices and Trading Volume', Journal of Financial and Quantitative Analysis, Vol. 23, pp. 269-83.
21. Kleidon, A. and I. Werner (1993), 'Round-the-Clock Trading: Evidence from U.K. Cross-Listed Securities', Working Paper (National Bureau of Economic Research).
22. Kyle A.S. (1985), 'Continuous Auctions and Insider Trading', Econometrica, Vol. 53, Issue 6, pp. 1315-36.
23. Lee, C.M.C., B. Mucklow and M.J. Ready (1993), 'Spreads, Depths, and the Impact of Earnings Information: An Intra Day Analysis', Review of Financial Studies, Vol. 6, pp. 345-74.
24. Levin, E.J. and R.E. Wright (1999), 'Why Does the Bid-Ask Spread Vary Over the Day?', Applied Economics Letters, Vol. 6, pp. 563-67.
25. Lockwood, L.J. and S.C. Linn (1990), 'An Examination of Stock Market Return Volatility During Overnight and Intra-day Periods, 1964-1989', Journal of Finance, Vol. 45, pp. 591-601.
26. LSE (1999), 'Markets Analysis-Market Statistics from the London Stock Exchanges, 26 March 1999' (London Stock Exchange).
27. Madhavan, A., M. Richardson and M. Roomans (1997), 'Why Do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks', Review of Financial Studies, Vol. 10, pp. 1035-64.
28. McInish, T.H. and R.A. Wood (1985), 'Intra-day and Overnight Returns and Day-of-the-Week Effects', Journal of Financial Research, Vol. 8, pp. 119-26.
29. -(1990), 'A Transactions Data Analysis of the Variability of Common Stock Returns During 1980-1984', Journal of Banking and Finance, Vol. 14, pp. 99-112.
30. -(1992), 'An Analysis of Intra-day Patterns in Bid/Ask Spreads for Nyse Stocks', Journal of Finance, Vol. 47, pp. 753-64.
31. Naik, N. Y. and P.K. Yadav (1999), 'The Effects of Market Reform on Trading Costs of Public Investors: Evidence from the London Stock Exchange', Working Paper (London Business School, Institute of Finance and Accounting).
32. Newey, W. and K. West (1987), 'A Simple Positive Semi-Definite, Heteroscedasticity and Autocorrelation Consitent CovarianceMatrix', Econometrica, Vol. 55, pp. 703-8.
33. Short, H. and K. Keasey (1999), 'Managerial Ownership and the Performance of Firms: Evidence from the UK, Journal of Corporate Finance, Vol 5, pp. 79-101.
34. Taylor, N., D. vanDijk, P.H. Franses and A. Lucas (2000), 'SETS, Arbitrage Activity, and Stock Price Dynamics', Journal of Banking and Finance, Vol. 24, pp. 1289-306.
35. Wang, E., R. Hudson and K. Keasey (2000), 'Tick Size and the Compass Rose: Further Insights', Economic Letters, Vol. 68, pp. 119-25.
36. Wang, S., L.K. Guan and C. Chang (1999), 'A New Methodology for Studying Intra-day Dynamics of Nikkei Index Futures Using Markov Chains', Journal of International Financial Markets, Institutions and Money, Vol. 9, pp. 247-65.
37. Wood, R., T. McInish and J. Ord (1985), 'An Investigation of Transactions Data for NYSE Stocks', Journal of Finance, Vol. 40, pp. 723-39.
38. Yadav, P.K. and P.F. Pope (1992), 'Intraweek and Intra-day Seasonalities in Stock Market Risk Premia: Cash and Futures', Journal of Banking and Finance, Vol. 16, pp. 233-70.