Rahman, Shafiqur; Krishnamurti, Chandrasekhar; Lee, Alice - In: Review of Quantitative Finance and Accounting 25 (2005) 2, pp. 91-124
We examine the dynamics of return volatility, trading volume, and depth—in an intraday setting for a sample of actively traded NYSE and NASDAQ stocks. We show that depth is a useful intervening variable and mitigates the impact of trading activity on price volatility. Furthermore, depth is...