the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

physical trade, results in different pricing dynamics on physical and futures markets, and affects futures price volatility by … focusing on realized volatility relations between Black Sea spot and leading futures markets. Here, prices posted at the … intraday seasonally adjusted realized volatility on the CBoT futures market. Further, elevated volatility can be determined in …