Intraday trading volume and return volatility of the DJIA stocks: A note

We examine the contemporaneous correlation as well as the lead-lag relation between trading volume and return volatility in all stocks comprising the Dow Jones industrial average (DJIA). We use 5-minute intraday data and measure return volatility by the exponential generalized autoregressive conditional heteroscedasticity method. Contrary to the mixture of distribution hypothesis, the vast majority of the DJIA stock shows no contemporaneous correlation between volume and volatility. However, we find evidence of significant lead-lag relations between the two variables in a large number of the DJIA stocks in accordance with the sequential information arrival hypothesis. (C) 2003 Elsevier B.V. All rights reserved.