作者：Yuanyuan Xu

题名：Examining the impact of trading volume on liquidity and prices in China's soybean complex

期刊：Agribusiness，2024（01）

摘要：This paper presents liquidity measures in high resolution and investigates the impact of trading volume on market liquidity and prices in China's soybean complex markets. We document a U‐shaped distribution of volume and spreads over the course of a trading day. Quantile regression results show that trading volume tends to tighten bid‐ask spreads but widen spreads in the lower tail. We further find that the impact of trading volume on prices is significantly more pronounced during the opening hours, possibly indicating a higher prevalence of informed trading.      Additionally, smaller‐sized transactions have a disproportionately larger impact on prices compared to large‐sized orders, a possible indication that stealth trading, that is, shaving large orders into smaller slices to conceal private information, presents in China's soybean complex.