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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 semivariance. We show that (i) an asymmetric 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

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/6887.

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Date of creation: Nov 2012
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Publication status: Published in Energy Economics, 2012, Vol. 34, no. 6. pp. 1896-1909.Length: 13 pages
Handle: RePEc:dau:papers:123456789/6887

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Keywords: Crude Oil Futures; Price Volatility; Trading Volume; Jump; Realised Semivariance; Median Realized Volatility; Bipower Variation; Realized Volatility; High-Frequency Data; Natural Gas Futures;

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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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