TY - JOUR
T1 - Trading volume, realized volatility and jumps in the Australian stock market
AU - Shahzad, Hassan
AU - Duong, Huu Nhan
AU - Kalev, Petko Stefanov
AU - Singh, Harminder
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
U2 - 10.1016/j.intfin.2014.04.009
DO - 10.1016/j.intfin.2014.04.009
M3 - Article
SN - 1042-4431
VL - 31
SP - 414
EP - 430
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -