Number of Transactions and Volatility: An empirical study using High-frequency data from NASDAQ Stocks

Saji, Gopinath; Krishnamurti, Chandrasekhar*

dc.contributor.author	Saji, Gopinath
dc.contributor.author	Krishnamurti, Chandrasekhar*
dc.date.accessioned	2015-04-22T09:19:31Z
dc.date.available	2015-04-22T09:19:31Z
dc.date.issued	2001
dc.identifier.uri	http://hdl.handle.net/2259/390
dc.description	The Journal of Financial Research, Vol. XXIV. No.2. Pages 205-218. Summer 2001.	en_US
dc.description.abstract	Our empirical evidence based on transactions data of a sample of Nasdaq stocks indicates that trade of large firms are related to the proxies of marketwide and firm-specific information. For large firms, an increase in the number of trades seems to have a beneficial effect on liquidity as measured by bid-ask spreads. On the other hand, trades of small and medium firms are associated with firm-specific information and are not related to marketwide information. For small and medium firms, the frequency of trades in positively associated with bid-ask spreads, apparently beacuse of the adverse information content of trades.	en_US
dc.language.iso	en	en_US
dc.publisher	The Journal of Financial Research	en_US
dc.subject	Nasdaq Stocks	en_US
dc.subject	Financial Management	en_US
dc.subject	Trade	en_US
dc.subject	Transactions and Volatilityi	en_US
dc.title	Number of Transactions and Volatility: An empirical study using High-frequency data from NASDAQ Stocks	en_US
dc.type	Article	en_US