Abstract
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.