On the relationship between energy returns and trading volume: a multifractal analysis

Zied Ftiti (), Fredj Jawadi, Wael Louhichi and Mohamed Arbi Madani

Applied Economics, 2019, vol. 51, issue 29, 3122-3136

Abstract: Forecasting and modelling commodities price movements and the activity of energy markets are of real interest to investors and policymakers, especially during turbulent times. This study investigates the volume–returns relationship for two major energy markets (oil and gas) during the recent global financial crisis. Unlike previous studies, we examine this relationship by applying an original fractal approach to intraday data, which has the advantage of accounting for further non-normality, nonstationarity, and fat-tailedness properties. Our study provides two interesting findings. First, we find a significant multifractal relationship between returns and volume in both markets and across all timescales, suggesting nonlinearity in the cross-correlation between returns and volume and rejecting the efficiency assumption. Second, the measure of multifractality in this relationship shows that the magnitude of the fluctuations during bearish and bullish trends affects the volume–return relationship differently, and that the oil market exhibits higher volatility than does the gas market.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2018.1564122 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:51:y:2019:i:29:p:3122-3136

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2018.1564122

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().