Wang, George H. K.; Yau, Jot - In: Journal of Futures Markets 20 (2000) 10, pp. 943-970
In this study, we examined the relations between trading volume, bid–ask spread, and price volatility on four financial and metal futures. Hausman’s (1978) tests of specification confirmed that trading volume, bid–ask spread, and price volatility are jointly determined. We estimated the...