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

Author

Listed:
  • Christos I. Giannikos

    (Department of Economics and Finance, Baruch College, U.S.A.)

  • 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.)

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.

Suggested Citation

  • Christos I. Giannikos & Hany Guirguis & Deniz Ozenbas, 2003. "Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 2(1), pages 49-55, April.
    • Handle: RePEc:ijb:journl:v:2:y:2003:i:1:p:49-55
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    References listed on IDEAS

    as
    1. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    2. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    3. Gerety, Mason S & Mulherin, J Harold, 1994. "Price Formation on Stock Exchanges: The Evolution of Trading within the Day," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 609-629.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    volatility; volume; multiple equation models; nonparametric methods;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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