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On the volatility–volume relationship in energy futures markets using intraday data

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  • Chevallier, Julien
  • Sévi, Benoît

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 34 (2012)
Issue (Month): 6 ()
Pages: 1896-1909

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Handle: RePEc:eee:eneeco:v:34:y:2012:i:6:p:1896-1909

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Web page: http://www.elsevier.com/locate/eneco

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Keywords: Trading volume; Price volatility; Crude oil futures; Natural gas futures; Realized volatility; Realized semivariance;

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Cited by:
  1. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
  2. Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-053, Department of Research, Ipag Business School.

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