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Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis

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Author Info

  • Christos I. Giannikos

    (Department of Economics and Finance, Baruch College, U.S.A.)

  • Hany Guirguis

    (Department of Economics and Finance, Manhattan College, U.S.A.)

  • Deniz Ozenbas

    (Department of Economics and Finance, Montclair State University, U.S.A.)

Abstract

In this paper we document and account for the non-normality of returns exhibited by the indices in our samples. Consequently we re-examine the relationship between volatility and volume while distinguishing between returns within a trading day and returns across trading days. Our results indicate that the volatility exhibited by both types of returns is positively and significantly related to volume. Hence the results provide an additional explanation for short-term volatility patterns, which is not necessarily within a strict price formation framework.

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Bibliographic Info

Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

Volume (Year): 2 (2003)
Issue (Month): 1 (April)
Pages: 49-55

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Handle: RePEc:ijb:journl:v:2:y:2003:i:1:p:49-55

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Postal: 100 Wenhwa Road, Seatwen, Taichung
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Related research

Keywords: volatility; volume; multiple equation models; nonparametric methods;

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  1. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
  2. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
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