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New evidence on the relation between stock liquidity and measures of trading activity

✍ Scribed by Daniel Chai; Robert Faff; Philip Gharghori

Book ID
116577420
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
282 KB
Volume
19
Category
Article
ISSN
1057-5219

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## Abstract In the empirical literature, it has been shown that there exists both linear and non‐linear bi‐directional causality between trading volumes and return volatility (measured by the square of daily return). We re‐examine this claim by using realized volatility as an estimator of the unobs

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## Abstract This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which