Ben Sita, Bernard; Westerholm, P. Joakim - In: International Review of Financial Analysis 20 (2011) 5, pp. 306-310
In this paper, we investigate the information content of trading intensity applying the Madhavan, Richardson and Roomans (1997) structural model to express trading intensity as trading momentum in duration and volume. Using both transactions and intraday data from the Helsinki Stock Exchange...
