Trade size, order imbalance, and the volatility-volume relation
Publication in refereed journal


香港中文大学研究人员 ( 现职)

方伟明教授 (金融学系)

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数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0304-405X(00)00057-X

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/107WOS source URL

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摘要This paper examines the roles of the number of trades, size of trades, and order imbalance (buyer- versus seller-initiated trades) in explaining the volatility-volume relation for a sample of NYSE and Nasdaq stocks. Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility-volume relation on both markets. After controlling for the return impact of order imbalance, the volatility-volume relation becomes much weaker. For NYSE stocks, the order imbalance in large trade size categories affects the return more than in smaller size categories. For Nasdaq stocks, the largest return impact comes from the order imbalance in maximum-sized Small Order Execution System (SOES) trades. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification. G10; G12; G13.

着者Chan K, Fong WM
期刊名称Journal of Financial Economics
出版年份2000
月份8
日期1
卷号57
期次2
出版社ELSEVIER SCIENCE SA
页次247 - 273
国际标準期刊号0304-405X
语言英式英语

关键词number of trades; order imbalance; size of trades; SOES; volume-volatility relation
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS