Volatility–Trading volume intraday correlation profiles and its nonstationary features

Graczyk, Michelle B.; Queirós, Sı́lvio M. Duarte

doi:10.1016/j.physa.2018.05.066

Cited by 4 publications

(4 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The speculators will change their demand curve, which is observed by the trading volume due to different expectations on the information received. Graczyk and Queiros (2018) found that the relationship of trading volume and volatility of return for the Dow Jones Industrial Average is supported by both MDH and SIAH. Kao et al (2019) found that both the contemporaneous and lead-lag positive relationships exit in the higher regimes for trading volume and volatility of return.…”

Section: Literature Reviewmentioning

confidence: 90%

Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures

Yeap

2022

JRFM

View full text Add to dashboard Cite

Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and unexpected elements of trading activities (trading volume and open interest) as the independent variables. The results show that there is a negative contemporaneous relationship between the expected volume and volatility, but that a positive relationship exists between unexpected volume and volatility. On the contrary, the expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be considered together when information flows into the market.

show abstract

Section: Literature Reviewmentioning

confidence: 90%

Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures

Yeap

2022

JRFM

View full text Add to dashboard Cite

show abstract

“…Equation (2) proposed by Garman and Klass (1980) is utilised to calculate the intraday volatility of stocks. A historical volatility measure of Garman and Klass (1980) was also used by Martens and van Dijk (2007), Kao and Fung (2012), and Graczyk and Duarte Queirós (2018) for intraday volatility.…”

Section: Methodsmentioning

confidence: 99%

“…According to Graczyk and Duarte Queirós (2018), market dynamics follow SIAH at opening and closing while adhering to MDH for the remainder of the session.…”

Section: Literature Summarymentioning

confidence: 99%

“…DBH asserts that an asymmetrical relationship between volume and volatility is possible due to the heterogeneous interpretation of the same public information by market participants. According to Graczyk and Duarte Queirós (2018), market dynamics follow SIAH at opening and closing while adhering to MDH for the remainder of the session.…”

Section: Literature Summarymentioning

confidence: 99%

See 1 more Smart Citation

Intraday analysis of regulation change in microstructure: evidence from an emerging market

Kadioglu

2021

IJOEM

View full text Add to dashboard Cite

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

show abstract

Dynamic relationship between the XRP price and correlation tensor spectra of transaction networks

Chakraborty,

Hatsuda,

Ikeda

2024

Physica A: Statistical Mechanics and its Applications

View full text Add to dashboard Cite

Volatility–Trading volume intraday correlation profiles and its nonstationary features

Cited by 4 publications

References 28 publications

Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures

Trading Activities and the Volatility of Return on Malaysian Crude Palm Oil Futures

Intraday analysis of regulation change in microstructure: evidence from an emerging market

Dynamic relationship between the XRP price and correlation tensor spectra of transaction networks

Contact Info

Product

Resources

About