Mardi | 2016-06-21
16h00-17h20 en sully 05
The nature of the relationship between trading volume and volatility series has been widely studied but overall, the literature provides mixed results. In this paper, we investigate this issue for the thirty components of the Dow Jones stock market index in light of a recent concept named anti-cointegration. For almost all firms, we show that the most persistent component of both trading volume and volatility series is idiosyncratic and dwarfs a less persistent common factor that is undetectable by traditional long run or short-run econometric techniques. We also study the phase angle of the cross-spectrum and find clear evidence that in presence of anti-cointegration, trading volume and volatility are contemporaneously linked, thereby supporting the mixture of distributions hypothesis rather than the sequential arrival of information hypothesis.