Bid-Ask Spreads, Trading Volume and Volatility: Intraday Evidence from the London Stock Exchange

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Bid-Ask Spreads, Trading Volume and Volatility: Intraday Evidence from the London Stock Exchange

Author Info

A Abhyankar
D Ghosh
E Levin
R J Limmack

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Dipak Ghosh

Abstract

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Paper provided by University of Stirling, Department of Economics in its series Working Papers Series with number 95/11.

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Date of creation: Oct 1995
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Handle: RePEc:stl:stlewp:95/11

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Article
- A. Abhyankar & D. Ghosh & E. Levin & R.J. Limmack, 1997. "Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 24(3), pages 343-362. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Andreas Andrikopoulos & Timotheos Angelidis, 2008. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach," Working Papers 0017, University of Peloponnese, Department of Economics. [Downloadable!]
David G. McMillan & Alan E. H. Speight, 2004. "Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 253-263, January. [Downloadable!] (restricted)
Cumhur Ekinci, 2003. "A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange," Finance 0305006, EconWPA, revised 20 May 2004. [Downloadable!]
Leonardo Bartolini & Svenja Gudell & Spence Hilton & Krista Schwarz, 2005. "Intraday trading in the overnight federal funds market," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Nov. [Downloadable!]

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