Intraday Trading Volume and Return Volatility of the Djia Stocks: A Note

13 Pages Posted: 6 Jan 2003

See all articles by Ali F. Darrat

Ali F. Darrat

Louisiana Tech University - College of Business

Shafiqur Rahman

Portland State University - School of Business Administration

Maosen Zhong

University of Queensland - Business School

Date Written: August 2002

Abstract

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

Darrat, Ali F. and Rahman, Shafiqur and Zhong, Maosen, Intraday Trading Volume and Return Volatility of the Djia Stocks: A Note (August 2002). Available at SSRN: https://ssrn.com/abstract=348820 or http://dx.doi.org/10.2139/ssrn.348820

Ali F. Darrat

Louisiana Tech University - College of Business ( email )

Department of Economics & Finance
P.O. Box 10318
Ruston, LA 71272
United States
318-257-3874 (Phone)
318-257-4253 (Fax)

Shafiqur Rahman

Portland State University - School of Business Administration ( email )

Portland, OR 97207-0751
United States

Maosen Zhong (Contact Author)

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia

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