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On the volatility-volume relationship in energy futures markets using intraday data

Julien Chevallier and Benoît Sévi (benoit.sevi@upmf-grenoble.fr)
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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

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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
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Published in Energy Economics, 2012, 34 (6), pp.1896-1909. ⟨10.1016/j.eneco.2012.08.024⟩

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Journal Article: On the volatility–volume relationship in energy futures markets using intraday data (2012) Downloads
Working Paper: On the volatility-volume relationship in energy futures markets using intraday data (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00988926

DOI: 10.1016/j.eneco.2012.08.024

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