Trading volume, bid–ask spread, and price volatility in futures markets
By George H. K. Wang, Jot K. Yau. 2000
219 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/052966a23a547d4b2efd41986fb19f8f50b5b063
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In Accounting
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Citations in the corpus
- Forecasting Volatility of the U.S. Oil Market (2014, unknown): “However, together with Wang et al. (2008), Agnolucci (2009) and Padungsaksawasdi and Daigler (2013) found no evidence of”
- Taxing Financial Transactions: Issues and Evidence (2011, background): “In futures markets, Wang, and others (1997) and Wang and Yau (2000) find a negative relationship between bid-ask spreads and trading volume in seven U.S. futures markets.”