Number of Transactions and Volatility: An Empirical Study Using High Frequency Data of Nasdaq Stocks

Posted: 24 Mar 2000

See all articles by Saji Gopinath

Saji Gopinath

Regional Engineering College, India

Chandrasekhar Krishnamurti

Nanyang Business School

Abstract

Our empirical evidence based on transactions data of a sample of Nasdaq stocks indicates that trades 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 size firms are associated with firm-specific information and are not related to marketwide information. For small and medium firms, the frequency of trades is positively associated with bid-ask spreads, apparently because of the adverse information content of trades.

JEL Classification: G1, G14

Suggested Citation

Gopinath, Saji and Krishnamurti, Chandrasekhar, Number of Transactions and Volatility: An Empirical Study Using High Frequency Data of Nasdaq Stocks. Journal of Financial Research. Available at SSRN: https://ssrn.com/abstract=212348

Saji Gopinath

Regional Engineering College, India ( email )

Calicut
India
91 (0495) 287206 (Phone)
0495-287250 (Fax)

Chandrasekhar Krishnamurti (Contact Author)

Nanyang Business School ( email )

S3-B1B-76 Nanyang Avenue
Nanyang Technological University
Singapore 639798
Republic of Singapore
(65) 790-5702 (Phone)
(65) 791-3697 (Fax)

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