Trading volume, bid-ask spread, and price volatility in futures markets

Article Abstract:

Analysis of trading volume, price volatility and the spread between bid and ask was performed using the generalized method of moments. A positive relationship was found between price volatility and trading volume, but an inverse relationship between bid-ask spread and trading volume.

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Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets

Article Abstract:

A study comparing the method of determining the intraday prices in regular floor trading and electronic trading is presented based on the United States equity index futures markets.

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Trading volume and transaction costs in futures market

Article Abstract:

The jointly determined relationship between trading volume and bid-ask spreads is formalized by estimating elasticities in a simultaneous-equation model. Evidence shows that trading volume is positively related to intraday price volatility and inversely related to bid-ask spreads, holding other factors controlled. Elasticities are also estimated for trading volume with respect to bid-ask spreads in the futures market, which is a variable component of transaction costs.

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