Evidence of dependence between volume, returns and volatility: A correlation of distances approach, using intraday data for all Ibovespa stocks

摘要

The relationships between volume, returns and volatility have been vastly explored in finance focusing developed markets. We present our approach to the Brazilian market, investigating the dynamics of sixty seven companies that are included in the portfolio of the Ibovespa index, the most influent index in South and Latin America. We utilize a strong statistical tool to measure association, the correlation of distances and measured volatility using squared returns. We find, for the entire sample, strong evidence of association between their returns and volatility. We also find significant association between volume and returns. We found only moderate interconnections between volume and lagged volatility, an indication of causality. Lastly, our results show some association of volume and returns.