کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961726 | 929904 | 2006 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Using unique data, we address the issue of price formation in a limit order market. A standard volume-volatility relation is documented with the number of trades acting as the important component of volume. The main contribution of the paper is to identify strong evidence that volume, volatility, and the volume-volatility relation are negatively related to the order book slope. These results are robust to the inclusion of several liquidity measures. A significant empirical relationship between the order book slope and the coefficient of variation in earnings forecasts by financial analysts suggests that the slope is proxying for disagreement among investors. Hence, our results support models where investor heterogeneity intensifies the volume-volatility relation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 4, November 2006, Pages 408-432
Journal: Journal of Financial Markets - Volume 9, Issue 4, November 2006, Pages 408-432
نویسندگان
Randi Næs, Johannes A. Skjeltorp,