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1、JournalofEmpiricalFinance17(2010)168–175ContentslistsavailableatScienceDirectJournalofEmpiricalFinancejournalhomepage:www.elsevier.com/locate/jempfinTradingactivity,realizedvolatilityandjumpsa,b,cb,ca,d,⁎PierreGiot,SébastienLaurent,MikaelPetitjeanaLouvain
2、SchoolofManagement,BelgiumbCeReFiM,FUNDP,UniversityofNamur,BelgiumcCORE,UniversitéCatholiquedeLouvain,BelgiumdFUCaM,CatholicUniversityofMons,BelgiumarticleinfoabstractArticlehistory:Thispapertakesanewlookattherelationbetweenvolumeandrealizedvolatility.Inc
3、ontrastReceived24April2008topriorstudies,wedecomposerealizedvolatilityintotwomajorcomponents:acontinuouslyReceivedinrevisedform1July2009varyingcomponentandadiscontinuousjumpcomponent.OurresultsconfirmthatthenumberAccepted6July2009oftradesisthedominantfacto
4、rshapingthevolume–volatilityrelation,whateverthevolatilityAvailableonline16July2009componentconsidered.However,wealsoshowthatthedecompositionofrealizedvolatilitybearsonthevolume–volatilityrelation.TradevariablesarepositivelyrelatedtothecontinuousJELclassi
5、fication:componentonly.Thewell-documentedpositivevolume–volatilityrelationdoesnotholdforG10jumps.G12©2009ElsevierB.V.Allrightsreserved.G13Keywords:VolumeVolatilityTransactionsJumpsBi-powervariation1.IntroductionVolumeandvolatilityconveyextremelyimportantim
6、plicationsformarketparticipants.Notsurprisingly,therelationbetweenthetwohasbeenextensivelystudiedinthepast.Intheearlyempiricalliterature,whichismostlybasedonmonthlyandweeklystockreturns,volatilityandtradingvolumearemeasuredrespectivelybyabsolutereturnsand
7、numberofsharestradedperequallytime-spacedintervals.Apositivecontemporaneousrelationbetweenthetwoisgenerallydocumented,althoughitdoesnotalwaysappeartobesizeable(e.g.Karpoff,1987).Inmorerecenttheoreticalstudies,volumeisdecomposedintotradefrequency(i.e.thenu
8、mberoftrades)andtradesize(i.e.theaveragenumberofsharespertrade).Aroughtaxonomyofthetheoreticalmodelsonthevolume–volatilityrelationconsistsofthreeclassesofmodels:competitive,strategic,andmixtureofdistributionmodels.C
