The intraday relation between return volatility, transactions, and volume☆

XE Xu, C Wu - International Review of Economics & Finance, 1999 - Elsevier
In this article, we examine the relation between return volatility, average trade size, and the
frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson …
被引用次数：42 相关文章

[引用][C] The intraday relation between return volatility, transactions, and volume

XE Xu, C Wu - International Review of Economics & Finance, 1999 - econpapers.repec.org
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[引用][C] The intraday relation between return volatility, transactions, and volume

XE Xu, C Wu - International Review of Economics & Finance, 1999 - ideas.repec.org
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The Intraday Relation between Return Volatility, Transactions and Volume

C WU, XE Xu - International Review of Economics and …, 1999 - ink.library.smu.edu.sg
In this article, we examine the relation between return volatility, average trade size, and the
frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson …