Lee, Jaeram; Lee, Geul; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-26, pp. 1-38
This study illuminates the difference in the intraday return-volume relationships of spot and index futures. The quantile regression analyses show that the widening effect of the spot trading volume on the distribution of spot returns disappears within a short period of time, whereas that of the...