Trading Activity and Price Volatility in the Municipal Bond Market
利用市政债券交易数据库，研究发现交易次数与价格波动正相关，而平均交易规模与价格波动负相关，与现有理论模型不一致，可能源于模型未考虑市场流动性对大额交易成本的影响。
ABSTRACT Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume–volatility relation in the municipal bond market. We find a positive relation between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a negative relation between average deal size and price volatility. These results are found to be robust throughout the sample. Our results are inconsistent with current theoretical models of the volume–volatility relation. These inconsistencies may arise because current models fail to account for the effects of overall market liquidity on the costs of large transactions.