Realized volatility and transactions

This paper re-examines the impact of number of trades, trade size and order imbalance on daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using realized volatility obtained by summing up intraday squared returns. Consistent with the theory of quadratic varia...

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Veröffentlicht in:	Journal of banking & finance 2006-07, Vol.30 (7), p.2063-2085
Hauptverfasser:	Chan, Choon Chat, Fong, Wai Mun
Format:	Artikel
Sprache:	eng
Schlagworte:	Absolute residuals Average trade size and order imbalance Microeconomics Number of trades Realized volatility Regression analysis Residuals Stock exchange Stock indexing Stock returns Studies Trade Volatility
Online-Zugang:	Volltext
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