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

  • Chevallier, Julien
  • Sévi, Benoît

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://basepub.dauphine.fr/xmlui/bitstream/123456789/6887/1/9F1EEd01.pdf
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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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