Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5085169 | International Review of Financial Analysis | 2011 | 7 Pages |
Abstract
The goal of this paper is to shed light on the relationship between volume and volatility. More specifically, it aims to determine which component of trading volume (trade size or number of transactions) drives this relation. Our intraday analysis reveals several results. Firstly, we confirm the strong positive relationship between volume and volatility. Secondly, including volume in the conditional variance of stock returns significantly reduces the persistence of volatility. Thirdly, we show that the well-known positive relationship between volatility and volume is generated by the number of trades. These results are robust, even after controlling for the impact of the intraday patterns. Finally, our findings are available for the CAC40 Index as well as for individual stocks.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Waƫl Louhichi,