Transactions, Volume and Volatility

Posted: 3 May 2000

See all articles by Charles M. Jones

Charles M. Jones

Columbia Business School

Gautam Kaul

University of Michigan, Stephen M. Ross School of Business

Marc L. Lipson

University of Virginia - Darden School of Business

Abstract

We show that the positive volatility-volume documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions. Thus, it is the occurance of transactions, per se, and not their size, that generates volatility; trade size has no information beyond that contained in the frequency of transactions. Our results suggest that theoretical research needs to entertain scenarios in which (a) both the frequency AND (author's emphasis) size of trades are endogenously determined; yet (b) the size of trades has no information content beyond that contained in the number of transactions.

JEL Classification: G14

Suggested Citation

Jones, Charles M. and Kaul, Gautam and Lipson, Marc Lars, Transactions, Volume and Volatility. REVIEW OF FINANCIAL STUDIES, Vol 7 No 4, 1994. Available at SSRN: https://ssrn.com/abstract=5474

Charles M. Jones

Columbia Business School ( email )

3022 Broadway
Uris Hall Rm 101
New York, NY 10027
United States
(212) 854-4109 (Phone)

HOME PAGE: http://https://www8.gsb.columbia.edu/cbs-directory/detail/cj88

Gautam Kaul (Contact Author)

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109-1234
United States
734-764-9594 (Phone)
734-647-6861 (Fax)

Marc Lars Lipson

University of Virginia - Darden School of Business ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-4837 (Phone)
434-243-5021 (Fax)

HOME PAGE: http://www.darden.virginia.edu/faculty/lipson.htm

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