Intraday Trading Volume and Return Volatility of the Djia Stocks: A Note
13 Pages Posted: 6 Jan 2003
Date Written: August 2002
We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones Industrial Average (DJIA). We use 5-minute intraday data and measure return volatility by the EGARCH method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis.
Keywords: Trading volume, Return volatility, EGARCH, Pooled Granger-causality
JEL Classification: G12, G14
Suggested Citation: Suggested Citation