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Trading Activity, Quoted Liquidity, and Stock Volatility

Jiang, Li - 2016

In this article, we examine dynamic relationships between volatility and various microstructure measures of trade activity and quoted liquidity for each component stock in the Toronto Stock Exchange 35 Index and for the Toronto 35 Index Participation Shares. When volatility is conditioned on...

Persistent link: https://www.econbiz.de/10013004210