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Volume 2, No. 1,
April 2003
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Is Volatility of
Equity Markets a Volume Story?
A Nonparametric Analysis
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Christos
I. Giannikos*
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Department of Economics and Finance, Baruch College,
U.S.A.
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Hany
Guirguis
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Department of Economics and Finance, Manhattan College,
U.S.A.
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Deniz
Ozenbas
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Department of Economics and Finance, Montclair State
University, U.S.A.
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Abstract
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In
this paper we document and account for the
non-normality of returns exhibited by the indices in
our samples. Consequently we re-examine the
relationship between volatility and volume while
distinguishing between returns within a trading day
and returns across trading days. Our results indicate
that the volatility exhibited by both types of returns
is positively and significantly related to volume.
Hence the results provide an additional explanation
for short-term volatility patterns, which is not
necessarily within a strict price formation framework.
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Key words
: volatility; volume; multiple equation
models; nonparametric methods
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JEL classification
: G10; G11; C14
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