Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market

被引：0
|
作者：
Wu, Liang [1 ]
Yan, Xin [1 ]
Fu, Zhiming [1 ]
Zhang, Rui [1 ]
机构：
[1] Sichuan Univ, Sch Econ, Wangjiang Rd 29, Chengdu 610064, Sichuan, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2019年 / 28卷
基金：
中国国家自然科学基金;
关键词：
Trade size; Liquidity; Depth; Resilience;
D O I：
10.1016/j.frl.2018.05.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a three dimensional liquidity measure to study the interaction between liquidity and order flow in the E-mini S&P 500 index future market. We show that trade size is larger during periods of high liquidity. Particularly, the thicker the depth of the limit order book, the larger the resilience, the narrower the bid-ask spread, the larger the trade size could be.
引用
收藏
页码：275 / 280
页数：6
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