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Cited by 870

The DOI matches its Crossref record; 27 of the 27 references it cites were found in a registry or an index.

Transactions, Volume, and Volatility

Open access
Jones, Charles M., Kaul, Gautam, Lipson, Marc L.·1994·Review of Financial Studies
DOI 10.1093/rfs/7.4.631
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Abstract

We show that the positive volatility-volume relation documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions. Thus, it is the occurrence of transactions per se, and not their size, that generates volatility; trade size has no information beyond that contained in the frequency of transactions. Our results suggest that theoretical research needs to entertain scenarios in which (1) both the frequency and size of trades are endogenously determined, yet (2) the size of trades has no information content beyond that contained in the number of transactions. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Crossref · 10.1093/rfs/7.4.631

Cites

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Metadata

Authors
Jones, C. M., Kaul, G., & Lipson, M. L.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
1994-10
Volume
7
Issue
4
Pages
631-651
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/7.4.631
OpenAlex
W2078837159
Cited by
870
References
27
FWCI
18.40
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Transactions, Volume, and Volatility. https://app.cochat.ai/papers/10.1093/rfs/7.4.631
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Jones, C. M., Kaul, G., & Lipson, M. L. (1994). Transactions, Volume, and Volatility. Review of Financial Studies. https://doi.org/10.1093/rfs/7.4.631

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.