Trading activity, realized volatility and jumps

Pierre Giot, Sébastien Laurent and Mikael Petitjean

Journal of Empirical Finance, 2010, vol. 17, issue 1, 168-175

Abstract: This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the dominant factor shaping the volume-volatility relation, whatever the volatility component considered. However, we also show that the decomposition of realized volatility bears on the volume-volatility relation. Trade variables are positively related to the continuous component only. The well-documented positive volume-volatility relation does not hold for jumps.

Keywords: Volume; Volatility; Transactions; Jumps; Bi-power; variation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (98)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:17:y:2010:i:1:p:168-175

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