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 …

In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets …. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price … momentum return investment strategy. A significant amount of positive serial correlation was also found in the volatility and …

We study the relationship between price spread, volatility and trading volume. We find that spread forms as a result of … volume, volatility and time horizon. Using the established relations, we address the operating spread optimization problem to …