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

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  • Julien Chevallier
  • Benoît Sévi

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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File URL: http://economix.fr/pdf/dt/2011/WP_EcoX_2011-16.pdf
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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2011-16.

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Length: 25 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:drm:wpaper:2011-16

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

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Cited by:
  1. Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers, Department of Research, Ipag Business School 2014-333, Department of Research, Ipag Business School.
  2. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, Elsevier, vol. 235(3), pages 643-659.

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