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

spread. Moreover, the results confirm the prediction of standard market microstructure theory that volatility exerts a …

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 …

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 …

long-term effects of asymmetrical information in Japan. …

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …