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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...
Persistent link: https://www.econbiz.de/10013033634
We exploit the exogenously instituted minimum tick size change to examine the dynamic relation between the bid-ask spread in the lit market and dark trading activity in the exchange operated dark pool in Japan. Using a difference – in – differences methodology, we document that stocks that...
Persistent link: https://www.econbiz.de/10013221060
We exploit the exogenously instituted minimum tick size change to examine the dynamic relationship between the bid-ask spread in the lit market and dark trading activity in the exchange operated dark pool in Japan. Using a difference – in – differences methodology, we document a significant...
Persistent link: https://www.econbiz.de/10012823383