the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …

empirical findings show that day trading increases the bid-ask spread, price depth and stock volatility, indicating that day …

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

, we find trading halts increase both volume and price volatility. Trading halts also increase bid-ask spreads and reduce …

In this article, we examine dynamic relationships between volatility and various microstructure measures of trade … Participation Shares. When volatility is conditioned on number of trades and quoted liquidity, trading volume provides no … volatility. Measures of quoted liquidity also play a significant role in explaining intra day volatility. Bid-ask spreads and …