Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models
利用1988年纽约证券交易所数据，检验了股票日内和日间交易量、交易成本与收益波动率的变化模式，发现活跃股票在开盘半小时内交易量、逆向选择成本和波动率均较高，这与Admati和Pfleiderer模型预测不符，但周一交易量低、逆向选择成本高的现象支持Foster和Viswanathan模型。
ABSTRACT Patterns in stock market trading volume, trading costs, and return volatility are examined using New York Stock Exchange data from 1988. Intraday test results indicate that, for actively traded firms trading volume, adverse selection costs, and return volatility are higher in the first half‐hour of the day. This evidence is inconsistent with the Admati and Pfleiderer (1988) model which predicts that trading costs are low when volume and return volatility are high. Interday test results show that, for actively traded firms, trading volume is low and adverse selection costs are high on Monday, which is consistent with the predictions of the Foster and Viswanathan (1990) model.