On the volatility-volume relationship in energy futures markets using intraday data
Julien Chevallier and
Benoît Sévi (benoit.sevi@upmf-grenoble.fr)
Additional contact information
Benoît Sévi: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Post-Print from HAL
Abstract:
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 semivariances. We show that (i) an asymm etric 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.
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Published in Energy Economics, 2012, 34 (6), pp.1896-1909. ⟨10.1016/j.eneco.2012.08.024⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: On the volatility–volume relationship in energy futures markets using intraday data (2012)
Working Paper: On the volatility-volume relationship in energy futures markets using intraday data (2011)
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:hal:journl:hal-00988926
DOI: 10.1016/j.eneco.2012.08.024
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).