This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of contract splits in the Australian share price index futures and the U.K. FTSE-100 futures contracts...

This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire...

Observers of financial markets have long noted that asset prices are very volatileand commonly exhibit jumps (price spikes). Thus, the assumption of a continuousprocess for asset price behavior is often violated in practice. Although empiricalstudies have found that the impact of such jumps is...