Trading volume, realized volatility and jumps in the Australian stock market

Hassan Shahzad, Huu Nhan Duong, Petko Stefanov Kalev, Harminder Singh

    Research output: Contribution to journalArticleResearchpeer-review

    18 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)414 - 430
    Number of pages17
    JournalJournal of International Financial Markets, Institutions and Money
    Volume31
    DOIs
    Publication statusPublished - 2014

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