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Trading volume, bid-ask spread, and price volatility in futures markets

Authors :
Wang, George H.K.
Yau, Jot
Source :
Journal of Futures Markets. Nov, 2000, Vol. 20 Issue 10, p943, 28 p.
Publication Year :
2000

Abstract

Analysis of trading volume, price volatility and the spread between bid and ask was performed using the generalized method of moments. A positive relationship was found between price volatility and trading volume, but an inverse relationship between bid-ask spread and trading volume.

Subjects

Subjects :
Futures market -- Research
Commodities industry -- Research
Business
Business, general

Details

ISSN :
02707314
Volume :
20
Issue :
10
Database :
Gale General OneFile
Journal :
Journal of Futures Markets
Publication Type :
Periodical
Accession number :
edsgcl.76416171

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