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| 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
Trade
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 |
| Appears in Collections: | Journal Articles
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Size | Format |
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| Nasdaq Stocks.pdf | | 2699Kb | Adobe PDF | View/Open |
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