文档介绍：Transactions, Volume, and
Volatility
Charles M. Jones
Princeton University
Gautam Kaul
University of Michigan
Marc L. Lipson
University of ia
We should show that the positive volatility-volume relation
documented by numerous researchers actually
reflects the positive relations between volatility and
the number of transactions. Thus, it is the occur-
rence of transactions per se, and not their size,
that generates volatility; trade size has no infor-
mation 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 endog-
enously determined, yet (ii) the size of trades has
no information content beyond that contained in
the number of transactions.
The relation between volume of trade and stock prices
has received increasing attention from academic
researchers. Virtually all empirical investigations of
the relation between stock-return volatility and vol-
ume have found a positive correlation between vol-
We appreciate ments and suggestions made by Jennifer Conrad,
Stanley Kon, Victor Ng, M. Nlmalendran, Paul Seguln, Steve Slezak, and the
market microstructure workshop participants at the University of Michigan.
Discussions with Michael Brennan, Thomas e, and Larry Glosten and
ments and suggestions by an anonymous referee and Robert Stam-
baugh (the editor), were particularly helpful. We also thank Patti Lampatter
for preparing the manuscript. Partial funding for this research was provided
by the School of Business Administration, the University of Michigan. Address
correspondence to Gautam Kaul, School of Business Administration, Uni-
versity of Michigan, Ann Arbor, MI 48109-1234.
The Review of Financial Studies Winter 1994 Vol. 7, No. 4, pp. 631-651
© 1994 The Review of Financial Studies 0893-9454/94/$
The Review of Financial Studies/v 7 n 4 1994
atility (measured