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Journal Article

The Dependence between Hourly Prices and Trading Volume

Prem C. Jain and Gun-Ho Joh
The Journal of Financial and Quantitative Analysis
Vol. 23, No. 3 (Sep., 1988), pp. 269-283
DOI: 10.2307/2331067
Stable URL: http://www.jstor.org/stable/2331067
Page Count: 15
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
The Dependence between Hourly Prices and Trading Volume
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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.

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