Modelling the relationship between future energy intraday volatility and trading volume with wavelet
Author
Abstract
Suggested Citation
DOI: 10.1080/00036846.2016.1229453
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
- Salisu, Afees A. & Fasanya, Ismail O., 2013. "Modelling oil price volatility with structural breaks," Energy Policy, Elsevier, vol. 52(C), pages 554-562.
- Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005.
"News announcements, market activity and volatility in the euro/dollar foreign exchange market,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," LIDAM Reprints CORE 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chevallier, Julien & Sévi, Benoît, 2012.
"On the volatility–volume relationship in energy futures markets using intraday data,"
Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
- Julien Chevallier & Benoît Sévi, 2011. "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers 2011-16, University of Paris Nanterre, EconomiX.
- Julien Chevallier & Benoît Sévi, 2012. "On the volatility-volume relationship in energy futures markets using intraday data," Post-Print hal-00988926, HAL.
- Charles, Amélie & Darné, Olivier, 2014.
"Volatility persistence in crude oil markets,"
Energy Policy, Elsevier, vol. 65(C), pages 729-742.
- Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
- Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
- He, Xiaojun & Velu, Raja, 2014. "Volume and Volatility in a Common-Factor Mixture of Distributions Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(1), pages 33-49, February.
- Wael Louhichi, 2012. "Does trading activity contain information to predict stock returns? Evidence from Euronext Paris," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 625-632, April.
- 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.
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013.
"An analysis of commodity markets: What gain for investors?,"
Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
- Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: what gain for investors?," Working Papers fe_2013_02, Deakin University, Department of Economics.
- Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
- Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015.
"Time-varying effect of oil market shocks on the stock market,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 150-163.
- Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009.
"Causality in quantiles and dynamic stock return-volume relations,"
Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
- Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
- Rua, António & Nunes, Luís C., 2009.
"International comovement of stock market returns: A wavelet analysis,"
Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
- António Rua & Luís Catela Nunes, 2009. "International comovement of stock market returns: a wavelet analysis," Working Papers w200904, Banco de Portugal, Economics and Research Department.
- David McMillan & Alan Speight, 2002. "Temporal aggregation, volatility components and volume in high frequency UK bond futures," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 70-92.
- Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013. "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 719-738.
- Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010.
"Trading activity, realized volatility and jumps,"
Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
- GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010. "Trading activity, realized volatility and jumps," LIDAM Reprints CORE 2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:dau:papers:123456789/6887 is not listed on IDEAS
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
- Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
- Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "The Impact of Trades on Daily Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1241-1277.
- Apostolos Serletis, 2007.
"Maturity Effects in Energy Futures,"
World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 3, pages 23-37,
World Scientific Publishing Co. Pte. Ltd..
- Serletis, Apostolos, 1992. "Maturity effects in energy futures," Energy Economics, Elsevier, vol. 14(2), pages 150-157, April.
- Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015.
"Measuring the liquidity part of volume,"
Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
- Gulten Mero & S. Darolles & Gaëlle Le Fol, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-02979999, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
- Rossi, Eduardo & Santucci de Magistris, Paolo, 2013.
"Long memory and tail dependence in trading volume and volatility,"
Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
- Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
- Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
- repec:bla:jfinan:v:53:y:1998:i:1:p:219-265 is not listed on IDEAS
- Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
- Alzahrani, Mohammed & Masih, Mansur & Al-Titi, Omar, 2014. "Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 175-201.
- Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
- Waël Louhichi, 2011. "What drives the volume-volatility relationship on Euronext Paris?," Post-Print halshs-00601370, HAL.
- Waël Louhichi, 2012. "Does trading activity contain information to predict stock returns ? Evidence from Euronext Paris," Post-Print halshs-00715964, HAL.
- Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.
- Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
- Alsubaie, Abdullah & Najand, Mohammad, 2009. "Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 139-159, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
- Rudiawarni, Felizia Arni & Sulistiawan, Dedhy & Sergi, Bruno S., 2024. "The role of the net purchase of stocks by foreign investors in boosting stock returns: Evidence from the Indonesian stock market," Economic Modelling, Elsevier, vol. 135(C).
- Jawadi, Fredj & Mallick, Sushanta K. & Idi Cheffou, Abdoulkarim & Augustine, Anish, 2021. "Does higher unemployment lead to greater criminality? Revisiting the debate over the business cycle," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 448-471.
- Brian Opiyo Yalla & Ferdinand Okoth Othieno, 2023. "Modelling delayed correlation between interest rates and equity market returns," SN Business & Economics, Springer, vol. 3(2), pages 1-24, February.
- Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
- Vácha, Lukáš & Šmolík, Filip & Baxa, Jaromír, 2019. "Comovement and disintegration of EU sovereign bond markets during the crisis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 541-556.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016.
"Intraday jumps and trading volume: a nonlinear Tobit specification,"
Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1167-1186, November.
- Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016. "Intraday jumps and trading volume: a nonlinear Tobit specification," Post-Print hal-02358454, HAL.
- Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
- Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
- Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
- You‐How Go & Wee‐Yeap Lau, 2023. "What do we know about informational efficiency? Three puzzles and the new direction forward," Journal of Economic Surveys, Wiley Blackwell, vol. 37(4), pages 1489-1525, September.
- Min Liu & Chien‐Chiang Lee & Wei‐Chong Choo, 2021. "An empirical study on the role of trading volume and data frequency in volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 792-816, August.
- Slim, Skander & Dahmene, Meriam, 2016. "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, vol. 29(C), pages 70-84.
- Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
- Min Liu & Wei‐Chong Choo & Chi‐Chuan Lee & Chien‐Chiang Lee, 2023. "Trading volume and realized volatility forecasting: Evidence from the China stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 76-100, January.
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
- Ezzat, Hassan & Kirkulak, Berna, 2014. "Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)," MPRA Paper 61160, University Library of Munich, Germany.
- Koubaa, Yosra & Slim, Skander, 2019. "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, vol. 82(C), pages 168-184.
- Maki, Daiki, 2024. "Asymmetric effect of trading volume on realized volatility," International Review of Economics & Finance, Elsevier, vol. 94(C).
- Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.
- Abhinava Tripathi, 2021. "The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence," IIM Kozhikode Society & Management Review, , vol. 10(1), pages 7-19, January.
- Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
- Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.
- Wang, Zijun & Qian, Yan & Wang, Shiwen, 2018. "Dynamic trading volume and stock return relation: Does it hold out of sample?," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 195-210.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.