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| Volume 2, No. 1, April
2003
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Is
Volatility of Equity Markets a Volume Story?
A Nonparametric Analysis |
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| Christos I. Giannikos |
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Department of
Economics and Finance, Baruch College, U.S.A. |
| Hany Guirguis |
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Department of Economics and
Finance, Manhattan College, U.S.A. |
| Deniz Ozenbas |
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Department of Economics and
Finance, Montclair State University, U.S.A. |
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| Abstract |
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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. |
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Key words:
volatility; volume; multiple equation models; nonparametric methods |
| JEL
classification:
G10; G11; C14 |
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