In this study, we examine the relations between the three keys variables of liquidity such as trading volume, bid-ask spread, and intraday price volatility. Hausman’s (1978) tests of specification confirmed that trading volume, bid-ask spread and intraday price volatility are jointly...

This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign exchange market based on a FX dealer's quotes. It uses a new data set that includes intra-daily data on trading volumes. The results are broadly consistent with the findings of the...

The empirically documented positive relationship between price momentum and subsequent stock returns constitutes a puzzle that evades a compelling theoretical explanation. This study analyzes one of the proposed explanations, namely that momentum is correlated with stock liquidity, which is the...

We use a data set consisting of a complete history of all transactions and quotes to examine intraday patterns in trading volume, volatility and the quoted bid-ask spread in the market for FTSE-100 index futures. We document a number of regularities in the pattern of daily returns and volatility...