The Dependence between Hourly Prices and Trading Volume

Abstract

This study provides evidence on joint characteristics of hourly common stock trading vol? ume and returns on the New York Stock Exchange. Average volume traded shows signifi? cant differences across trading hours of the day and across days of the week. Average returns differ across hours ofthe day, and, to some extent, across days ofthe week. There is a strong contemporaneous relation between trading volume and returns and also a rela? tion 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.