Title: The intraday relationship between volume and volatility in LIFFE futures markets
Abstract: This paper examines the intraday behaviour of five-minute FTSE-100, Short Sterling and Long Gilt LIFFE futures returns volatility and volume. The intraday patterns identified exhibit a U-shape, significantly affected by UK and US macroeconomic news releases. Evidence from estimation of a GMM system for volatility and volume supports a significant positive and contemporaneous correlation between volatility and volume, although lagged volume is also significant in the volatility equation. Further, there is strong evidence of bi-directional causality on the basis of Granger-causality testing. These results are found to be robust to the adjustment of volatility and volume for macroeconomic news effects, and in the case of the Granger-causality tests to a variety of temporal horizons.
Publication Year: 1999
Publication Date: 1999-12-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 52
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot