Giot, Pierre
[FUNDP]
Petitjean, Mikael
[FUCAM]
Laurent, Sébastien
[FUNDP]
(eng)
This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the dominant factor shaping the volume-volatility relation, whatever the volatility component considered. However, we also show that the nature of volatility bears on the volume-volatility relation. Trade variables are positively related to the continuous component only. The well-documented positive volume-volatility relation does not hold for jumps.
Bibliographic reference |
Giot, Pierre ; Petitjean, Mikael ; Laurent, Sébastien. Trading activity, realized volatility and jumps. (2007) |
Permanent URL |
http://hdl.handle.net/2078/19119 |