Transactions, Volume, and Volatility
发现波动性与交易量之间的正相关关系实际上源于波动性与交易次数之间的正相关，交易规模本身不包含超出交易次数的信息，对金融经济学和实证研究有重要参考价值。
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.