کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064887 1372297 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the volatility-volume relationship in energy futures markets using intraday data
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
On the volatility-volume relationship in energy futures markets using intraday data
چکیده انگلیسی

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results feature a contemporaneous and largely positive relationship. Furthermore, we test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative realized semivariances. We show that (i) an asymm etric volatility-volume relationship indeed exists, (ii) trading volume and trading frequency significantly affect negative and positive realized semivariance, and (iii) the information content of negative realized semivariance is higher than for positive realized semivariance.

► Trading volume and volatility in oil and gas futures with high-frequency data ► Realized volatility measures (with/without jumps) ► Trading volume and frequency affect negative and positive realized semivariances. ► Information content is higher for negative than for positive realized semivariance.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 34, Issue 6, November 2012, Pages 1896-1909
نویسندگان
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