In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …