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| Author: | Jones, C. Kaul, G. Lipson, M. |
| Title: | Transactions, volume and volatility |
| Journal: | Review of Financial Studies
1994 : WINTER, VOL. 7:4, p. 631-652 |
| Index terms: | ECONOMICS TRADE SHARE PRICES |
| Language: | eng |
| Abstract: | The authors show that the positive volatility-volume relation documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions. Thus, it is the occurrence of transactions per se , and not their size, that generates volatility; trade size has no information beyond that contained in the frequency of transactions. The results suggest that theoretical research needs to entertain scenarios. |
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