145 research outputs found
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Stylized facts of intraday precious metals
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid- ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its low- est when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples
Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets
The Microstructure of Currency Markets: An Empirical Model of Intra-day Return and Bid-Ask Spread Behavior
Do reductions in tick sizes influence liquidity?
On 4 December 1995, the Australian Stock Exchange reduced the minimum tick size for stocks priced below A10. We use this natural experiment to examine the impact of tick size reductions on liquidity. The present paper reports that although lower tick sizes generally lead to increased liquidity, this result is not universal. Stocks with larger relative tick sizes experience the greatest improvement in liquidity, while stocks with small relative tick sizes and low trading volume experience reduced liquidity. There is no change in order exposure as a result of the reduced tick sizes. Copyright 2005 Accounting and Finance Association of Australia and New Zealand..
Is the Quote Midpoint the Right Point? Empirical Evidence of the Asymmetry of the Effective Spread
The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange
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