Is Return Volatility Driven by Volume or Trade Counts?
نویسنده
چکیده
Many empirical studies have found a positive relationship between return volatility and trade volume. A number of theoretical papers predict this volume/volatility relationship. In contrast, Jones, Kaul and Lipson (1989) find that return volatility is best explained by transaction counts, rather than volume or average trade size. Our paper tests the robustness of this trade count/volatility result using Canadian data over a longer time frame. We find that the trade count/volatility relationship holds in the Toronto Stock Exchange.
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