Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jbankfin.2005.05.021
Title: Realized volatility and transactions
Authors: Chan, C.C.
Fong, W.M. 
Keywords: Absolute residuals
Average trade size and order imbalance
Number of trades
Realized volatility
Issue Date: 2006
Source: Chan, C.C., Fong, W.M. (2006). Realized volatility and transactions. Journal of Banking and Finance 30 (7) : 2063-2085. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jbankfin.2005.05.021
Abstract: This paper re-examines the impact of number of trades, trade size and order imbalance on daily stock returns volatility. In contrast to prior studies, we estimate daily volatility using realized volatility obtained by summing up intraday squared returns. Consistent with the theory of quadratic variation, realized volatility estimates are shown to be less noisy than standard volatility measures such as absolute returns used in previous studies. In general, our results confirm [Jones, C.M., Kaul, G., Lipson, M.L., 1994. Transactions, volume, and volatility. Review of Financial Studies 7, 631-651] that number of trades is the dominant factor behind the volume-volatility relation. Neither trade size nor order imbalance adds significantly more explanatory power to realized volatility beyond number of trades. This finding is robust to different time periods, firm sizes and regression specifications. The implications of our results for microstructure theory are discussed. © 2005 Elsevier B.V. All rights reserved.
Source Title: Journal of Banking and Finance
URI: http://scholarbank.nus.edu.sg/handle/10635/44474
ISSN: 03784266
DOI: 10.1016/j.jbankfin.2005.05.021
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

22
checked on Dec 7, 2017

WEB OF SCIENCETM
Citations

16
checked on Nov 22, 2017

Page view(s)

61
checked on Dec 10, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.