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The Dependence between Hourly Prices and Trading Volume

Published online by Cambridge University Press:  06 April 2009

Prem C. Jain  and
Gun-Ho Joh
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Abstract

This study provides evidence on joint characteristics of hourly common stock trading volume and returns on the New York Stock Exchange. Average volume traded shows significant differences across trading hours of the day and across days of the week. Average returns differ across hours of the day, and, to some extent, across days of the week. There is a strong contemporaneous relation between trading volume and returns and also a relation between trading volume and returns lagged up to four hours. Furthermore, the trading volume-returns relation is steeper for positive returns than for nonpositive returns.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 3 , September 1988 , pp. 269 - 283
Copyright
Copyright © School of Business Administration, University of Washington 1988

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