Title

The Intraday Relation between Return Volatility, Transactions and Volume

Publication Type

Journal Article

Publication Date

1999

Abstract

In this article, we examine the relation between return volatility, average trade size, and the frequency of transactions using transaction data. Consistent with Jones, Kaul, and Lipson (1994)(. Review of Financial Studies, 7, 631–651), our results show that the frequency of trades has a high explanatory power for return volatility. However, contrary to their finding, we find that average trade size contains nontrivial information for return volatility. The positive relation between return volatility and average trade size is more significant for actively traded stocks. Furthermore, return volatility exhibits significant intraday variations. It is found that the effect of trade frequency on return volatility is much stronger in the opening trading period.

Discipline

Business

Research Areas

Finance

Publication

International Review of Economics and Finance

Volume

8

Issue

4

First Page

375

Last Page

397

ISSN

1059-0560

Identifier

10.1016/s1059-0560(99)00029-5

Publisher

Elsevier