TRANSACTIONS, VOLUME, AND VOLATILITY

被引：375

作者：

JONES, CM

KAUL, G

LIPSON, ML

机构：

[1] UNIV MICHIGAN,SCH BUSINESS ADM,ANN ARBOR,MI 48109

[2] PRINCETON UNIV,PRINCETON,NJ 08544

[3] UNIV GEORGIA,ATHENS,GA 30602

来源：

REVIEW OF FINANCIAL STUDIES | 1994年 / 7卷 / 04期

关键词：

D O I：

10.1093/rfs/7.4.631

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We 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. Our results suggest that theoretical research needs to entertain scenarios in which (i) both the frequency and size of trades are endogeneously determined, yet (ii) the size of trades has no information content beyond that contained in the number of transactions.

引用

页码：631 / 651

页数：21

共 39 条

[11] TRANSACTION DATA TESTS OF THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J].