Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market
Zhiming Fu and
Finance Research Letters, 2019, vol. 28, issue C, 275-280
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.
Keywords: Trade size; Liquidity; Depth; Resilience (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:275-280
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().