On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît (2012), On the volatility-volume relationship in energy futures markets using intraday data, Energy Economics, 34, 6, p. 1896-1909. http://dx.doi.org/10.1016/j.eneco.2012.08.024
TypeArticle accepté pour publication ou publié
Journal nameEnergy Economics
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Abstract (EN)This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results feature a contemporaneous and largely positive relationship. Furthermore, we test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative realized semivariance. We show that (i) an asymmetric volatility-volume relationship indeed exists, (ii) trading volume and trading frequency signiﬁcantly affect negative and positive realized semivariance, and (iii) the information content of negative realized semivariance is higher than for positive realized semivariance.
Subjects / KeywordsCrude Oil Futures; Price Volatility; Trading Volume; Jump; Realised Semivariance; Median Realized Volatility; Bipower Variation; Realized Volatility; High-Frequency Data; Natural Gas Futures
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