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Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market

  • Naes, Randi
  • Skjeltorp, Johannes A.

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File URL: http://www.sciencedirect.com/science/article/B6VHN-4KBVX43-1/2/23c3971e93a7f45857410cc1ffa14d94
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 9 (2006)
Issue (Month): 4 (November)
Pages: 408-432

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Handle: RePEc:eee:finmar:v:9:y:2006:i:4:p:408-432
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Jung-Wook Kim & Jason Lee & Randall K. Morck, 2004. "Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks," NBER Working Papers 10410, National Bureau of Economic Research, Inc.
  2. Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 3, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  3. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  4. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  5. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
  7. Kalay, Avner & Sade, Orly & Wohl, Avi, 2004. "Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE," Journal of Financial Economics, Elsevier, vol. 74(3), pages 461-486, December.
  8. Shalen, Catherine T, 1993. "Volume, Volatility, and the Dispersion of Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 405-34.
  9. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
  10. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
  11. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
  12. Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, vol. 75(1), pages 165-199, January.
  13. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
  14. Harris, Lawrence, 1987. "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 127-141, June.
  15. Chan, Louis K C & Lakonishok, Josef, 1995. " The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-74, September.
  16. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
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