IDEAS home Printed from https://ideas.repec.org/a/sae/padigm/v12y2008i1p43-49.html
   My bibliography  Save this article

Return, Volume, and Volatility Analysis in Indian Stock Market

Author

Listed:
  • Sarika Mahajan
  • Balwinder Singh

Abstract

This paper examines the empirical relationship between return, volume, and volatility in Indian stock market. GARCH (1, 1) and EGARCH (1, 1) are estimated for Nifty index. The empirical results indicate inefficiency and information asymmetry in the market. The persistence of variance over time partly declines if one includes trading volume as a proxy for information arrivals in the equation of conditional volatility. Causality test further supports the sequential arrival of information hypothesis, which implies that new information is not simultaneously available to all traders and it takes time to absorb, which hampers the price discovery efficiency of the market.

Suggested Citation

  • Sarika Mahajan & Balwinder Singh, 2008. "Return, Volume, and Volatility Analysis in Indian Stock Market," Paradigm, , vol. 12(1), pages 43-49, January.
    • Handle: RePEc:sae:padigm:v:12:y:2008:i:1:p:43-49
    DOI: 10.1177/0971890720080106
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/0971890720080106
    Download Restriction: no
    File URL: https://libkey.io/10.1177/0971890720080106?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:padigm:v:12:y:2008:i:1:p:43-49. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.