Testing for Causality in the Intraday Volatility-Volume Relation: Shanghai Stock Market''''s Evidence
上海股市日内波动性与成交量之间引导关系的实证分析

In this paper, linear and nonlinear causality tests are used to examine the relationship between intraday return volatility and trading volume, using the high-frequency data of the Shanghai Stock Exchange recorded every five minutes from January 2, 2001 through June 29, 2001. We find evidence of significant bidirectional linear causal relationship and no evidence of nonlinear causal relationship between these two series. Although linear causality running from volume to volatility suggests that it may be possible to use linear models containing lagged volume to predict volatility, no nonlinear causality running from volume to volatility suggests that no such inference can be make for supporting the nonlinear forecasting models containing lagged volume.