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

Julien Chevallier () and Benoît Sévi ()
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Julien Chevallier: EconomiX - EconomiX - UPN - Université Paris Nanterre - 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 semivariance. We show that (i) an asymmetric 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.

Keywords: Trading Volume; Price Volatility; Crude Oil Futures; Natural Gas Futures; High-Frequency Data; Realized Volatility; Bipower Variation; Median Realized Volatility; Realised Semivariance; Jump (search for similar items in EconPapers)
Date: 2011
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