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

Liang Wu, Xin Yan, Zhiming Fu and Rui Zhang

Finance Research Letters, 2019, vol. 28, issue C, 275-280

Abstract: 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)
Date: 2019
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