liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …