Abstract
This paper investigates the volume-volatility relationship for Irish shares, using daily trading volume for 14 of the largest traded Irish stocks, for the period 2 June 2000 through to 28 March 2003. Our results show that a strong contemporaneous volume-volatility correlation exists for Irish stocks. However, ARCH and GARCH effects remain statistically significant for nearly half of Irish stocks, although they are significantly reduced. We also find an asymmetric effect of volume trading on volatility. Trading on the UK stock market has a disproportional effect on volatility of Irish stocks compared to trading on the Irish market. This suggests a potential dual-listed volume-volatility puzzle.
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