Number of transactions and volatility: An empirical study using high-frequency data from nasdaq stocks

Journal of Financial Research

Volumn 24, Issue 2, 2001, Pages 205-218

  Gopinath, Saji ^a   Krishnamurti, Chandrasekhar ^b  

^a INDIAN INSTITUTE OF MANAGEMENT KOZHIKODE   (India)

^b NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85016198322     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2001.tb00765.x     Document Type: Article

References (17)

1. Admati, A. R. and P. Pfleiderer, 1988, A theory of intraday patterns: Volume and price variability, Review of Financial Studies 1, 3–40.
2. Bessembinder, H., K. Chan, and P. J. Seguin, 1996, An empirical examination of information, differences of opinion, and trading activity, Journal of Financial Economics 40, 105–34.
3. Bessembinder, H. and P. J. Seguin, 1992, Futures-trading activity and stock price volatility, Journal of Finance 47, 2015–34.
4. Bessembinder, H. and P. J. Seguin, 1993, Price volatility, trading volume, and market depth: Evidence from futures markets, Journal of Financial and Quantitative Analysis 28, 21–39.
5. Brennan, M. J., N. Jegadeesh, and B. Swaminathan, 1993, Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799–824.
6. Chan, K. C., W. G. Christie, and P. H. Schultz, 1995, Market structure and the intraday pattern of bid-ask spreads for Nasdaq securities, Journal of Business 68, 35–60.
7. Coughenour, J. F., 1999, Volume, volatility, and the frequency distribution of trade size, Working paper, University of Pittsburgh.
8. Easley, D. and M. O'Hara, 1990, The process of price adjustment in securities markets, Working paper, Cornell University.
9. Foster, F. D. and S. Vishwanathan, 1990, A theory of intraday variations in volume, variance, and trading costs in securities markets, Review of Financial Studies 3, 593–624.
10. Gallant, A. R., P. E. Rossi, and C. E. Tauchen, 1992, Stock prices and volume, Review of Financial Studies 5, 199–242.
11. Harris, L. E., 1994, Minimum price variations, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies 7, 149–78.
12. Harris, M. and A. Raviv, 1993, Differences in opinion make a horse race, Review of Financial Studies 6, 473–506.
13. Huang, R. D. and H. R. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on Nasdaq and the NYSE, Journal of Financial Economics 41, 313–57.
14. Jones, C. M., G. Kaul, and M. L. Lipson, 1994, Transactions, volume and volatility, Review of Financial Studies 7, 631–51.
15. Kim, O. and R. E. Verrecchia, 1991, Market reactions to anticipated announcements, Journal of Financial Economics 30, 273–309.
16. Pfleiderer, P., 1984, The volume of trade and variability of prices: A framework for analysis in noisy rational expectations equilibria, Working paper, Stanford University.
17. Shalen, C. T., 1993, Volume, volatility, and the dispersion of beliefs, Review of Financial Studies 6, 405–34.