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 of the cash index. We also document intraday patterns in the basis, i … that, while both volume and volatility exhibit a U-shaped pattern over the day, movements in the spread tend if anything to …

-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 determined. Our study, leaded with a different approach to estimate the three …

This paper provides empirical evidence on the relationship between order size, volatility and spread in the foreign …

This paper examines the intraday return volatility process in Australian company stocks. The data set employed consists … and bid-ask spread is used as an exogenous explanatory variable. The results indicate strong persistence in volatility for … arrival of new information in generating GARCH effects and the degree of persistence, all of the volatility processes are mean …

Much research has demonstrated the existence of patterns in high-frequency equity returns, return volatility, bid …

In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index …

examination of the conjoint evolution of three microstructure indicators: market volatility, liquidity, and bid-ask spread. Then …

, nontrivial, state-dependent effects on equilibrium market liquidity, price volatility, trading volume, market efficiency, and …