Trading Volume and Volatility: Intraday Evidence from the Athens Stock Exchange

Constantinos Agorastos, Dionysios Chionis
European Research Studies Journal, Volume I, Issue 2, 71-92, 1998
EOI: 10.11214/thalassinos.01.02.007

Abstract:

With the present paper we document some standard statistical properties and stylized facts of volume and volatility of nine common shares traded in the Athens Stock Exchange(ASE). Using econometrical tools we investigate the relationship between volume and volatility attempting to find support for the Mixture of Distribution Hypothesis(MDH). Although the Granger-causality results can support a trading volume equation the well documented property of volatility clustering cannot be supported by the data. Furthermore, the trading volume seems to convey no information for the stock exchange participants. So we could cast doubt in the hypothesis proposed by Lamoureux and Lastrapes (1990).


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