haku: @author Hudson, R. / yhteensä: 5
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| Tekijä: | Cai, C.X. Hudson, R. Keasey, K. |
| Otsikko: | Intra day bid-ask spreads, trading volume and volatility: Recent empirical evidence from the London Stock Exchange |
| Lehti: | Journal of Business Finance and Accounting
2004 : JUN/JUL, VOL. 31:5-6, p. 647-676 |
| Asiasana: | Stock markets Stock exchanges Trading Volatility United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | This paper explores a number of intra day patterns of stock market behaviour, using the benefit of very high frequency and recent data (2001) for the U.K. The paper shows that differences in trading (hereafter as: trad.) systems (hereafter as: trad-s.) may affect the bid-ask spread patterns, while differences in market environments (i.e. U.S. and U.K. markets) seems to affect the trad. volume pattern. The paper suggests avenues for future research, in particular, the need to consider what factors are significant in determining intra day patterns for different trad-s. and the need for additional cross-market comparisons. |
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