Trading Volume, Realized Volatility and Jumps on the Australian Stock Market

Journal of International Financial Markets Institutions and Money, Forthcoming

33 Pages Posted: 10 May 2014

See all articles by Hassan Shahzad

Hassan Shahzad

Monash University

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Petko S. Kalev

La Trobe Business School

Harminder Singh

Deakin University - School of Accounting, Economics and Finance

Date Written: March 8, 2014

Abstract

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of trades is the most important variable driving realized volatility. The number of trades by the individual investors carries more explanatory power in explaining volatility compared to the number of trades by institutional investors. The average trade size cannot be entirely disregarded, though; its importance compared to the number of trades is limited. Order imbalance plays a minimal role in driving volatility.

Keywords: Volatility, Information flow, Jump

JEL Classification: G10, G20, G24

Suggested Citation

Shahzad, Hassan and Duong, Huu Nhan and Kalev, Petko S. and Singh, Harminder, Trading Volume, Realized Volatility and Jumps on the Australian Stock Market (March 8, 2014). Journal of International Financial Markets Institutions and Money, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2434834

Hassan Shahzad

Monash University ( email )

23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia

Huu Nhan Duong

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Petko S. Kalev

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
Australia
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Harminder Singh (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

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