The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if investors are risk-averse. We show that this anomaly is also prominent in the Chinese stock market. We attempt to explain the IV anomaly by using the key theories suggested by the...

The findings in this paper confirm that there is an economic and statistic negative association between High Frequency Trading [HFT] activity and price volatility. In the ultra-high frequency intervals around HFT there is a slight increase in volatility. This paper also confirms that large high...

Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book...