Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis

Christos Giannikos, Hany Guirguis and Deniz Ozenbas
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Hany Guirguis: Department of Economics and Finance, Manhattan College, U.S.A.
Deniz Ozenbas: Department of Economics and Finance, Montclair State University, U.S.A.

International Journal of Business and Economics, 2003, vol. 2, issue 1, 49-55

Abstract: 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.

Keywords: volatility; volume; multiple equation models; nonparametric methods (search for similar items in EconPapers)
JEL-codes: C14 G10 G11 (search for similar items in EconPapers)
Date: 2003
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