Examining the impact of trading volume on liquidity and prices in China's soybean complex
Yuanyuan Xu,
Jian Li,
Linjie Wang
et al.
Abstract:This paper presents liquidity measures in high resolution and investigates the impact of trading volume on market liquidity and prices in China's soybean complex markets. We document a U‐shaped distribution of volume and spreads over the course of a trading day. Quantile regression results show that trading volume tends to tighten bid‐ask spreads but widen spreads in the lower tail. We further find that the impact of trading volume on prices is significantly more pronounced during the opening hours, possibly i… Show more
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