This paper investigates the contemporaneous as well as the causal relationship between trading volume and a new measure of volatilitybased on the pointwise H older regularity of price process. Using daily data of Nikkei 225 index, evidence of contemporaneous correlation is found. A vector autoregressive (VAR) analysis is employed to test the dynamic relationship and a bidirectional causality is shown.
The volume-volatility relationship: A fractal analysis for a stock index / Frezza, Massimiliano. - In: MATHEMATICAL METHODS IN ECONOMICS AND FINANCE. - ISSN 1971-6419. - 13/14:(2020), pp. 37-48.
The volume-volatility relationship: A fractal analysis for a stock index
Massimiliano Frezza
2020
Abstract
This paper investigates the contemporaneous as well as the causal relationship between trading volume and a new measure of volatilitybased on the pointwise H older regularity of price process. Using daily data of Nikkei 225 index, evidence of contemporaneous correlation is found. A vector autoregressive (VAR) analysis is employed to test the dynamic relationship and a bidirectional causality is shown.File allegati a questo prodotto
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