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- W2956162956 abstract "This study is the first to use minute-by-minute data to examine the simultaneous interrelationship among volatilities, volume, bid-ask spread, and the number of brokers for three actively-traded Hong Kong companies between October 2 and December 29, 1995. The results indicate that high volatility is typically associated with high volume, a large bid-ask spread, and a large number of brokers. Volume is found to be positively related to volatility and negatively related to the number of brokers. This result confirms the observation that large stock trades in Hong Kong are conducted by a small group of brokers who derive business primarily from the institutional investors. More brokers and high volatility tend to increase the bid-ask spread, while high volume decreases it. Finally, we find that the number of participating brokers in the market is positively related to the lagged volatility and negatively related to the lagged volume and bid-ask spread." @default.
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- W2956162956 date "1998-09-01" @default.
- W2956162956 modified "2023-10-01" @default.
- W2956162956 title "The Relationship among Volatility, Volume, Bid-Ask Spread and Number of Brokers" @default.
- W2956162956 doi "https://doi.org/10.1142/s021909159800020x" @default.
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