Trade size, order imbalance, and the volatility-volume relation

• 成果类型: Article
• 署名作者: Chan, K; Fong, WM
• 署名单位: Hong Kong University of Science & Technology; Chinese University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00057-X
• 发表日期: 2000
• 页码: 247-273
• 关键词: volume-volatility relation; number of trades; size of trades; Order imbalance; SOES

摘要

This paper examines the roles of the number of trades, size of trades, and order imbalance (buyer- versus seller-initiated trades) in explaining the volatility-volume relation for a sample of NYSE and Nasdaq stocks. Our results reconfirm the significance of the size of trades, beyond that of the number of trades, in the volatility-volume relation on both markets. After controlling for the return impact of order imbalance, the volatility-volume relation becomes much weaker. For NYSE stocks, the order imbalance in large trade size categories affects the return more than in smaller size categories. For Nasdaq stocks, the largest return impact comes from the order imbalance in maximum-sized Small Order Execution System (SOES) trades. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification. G10; G12; G13.