Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis
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.
Volume (Year): 2 (2003)
Issue (Month): 1 (April)
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- Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
- 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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