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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/124

Title: Number of Transactions and Volatility: An empirical study using High-frequency data from NASDAQ Stocks
Authors: Saji, Gopinath
Krishnamurti, Chandrasekhar*
Keywords: Nasdaq Stocks
Financial Management
Transactions and Volatilityi
Issue Date: 2001
Publisher: The Journal of Financial Research
Abstract: Our empirical evidence based on transactions data of a sample of Nasdaq stocks indicates that trade of large firms are related to the proxies of marketwide and firm-specific information. For large firms, an increase in the number of trades seems to have a beneficial effect on liquidity as measured by bid-ask spreads. On the other hand, trades of small and medium firms are associated with firm-specific information and are not related to marketwide information. For small and medium firms, the frequency of trades in positively associated with bid-ask spreads, apparently beacuse of the adverse information content of trades.
Description: The Journal of Financial Research, Vol. XXIV. No.2. Pages 205-218. Summer 2001.
URI: http://hdl.handle.net/123456789/124
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