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An Empirical Study Of Return-Volume Relationship For Indian Market

Author

Listed:
  • Mahesh Kumar Tambi

    (ICFAI institute for Management Teachers)

Abstract

Generally there is a common belief that returns and trading activities have a strong positive relationship. This paper analyzes return-volume relationship in Indian context, both in contemporaneous as well as lead- lag. Initial screening of returns and trading activity data shows some idiosyncratic aspect of Indian market although a positive return- activity relationship is acknowledged. This study also documents the dissimilarity in relationship for positive and negative changes in prices. As regards lead-lag relationship, this paper finds strong evidence of volume causing returns than vice-versa.

Suggested Citation

  • Mahesh Kumar Tambi, 2005. "An Empirical Study Of Return-Volume Relationship For Indian Market," Finance 0504013, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0504013
    Note: Type of Document - pdf; pages: 18
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0504/0504013.pdf
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    Cited by:

    1. Rashmi Ranjan Paital & Naresh Kumar Sharma, 2016. "Do Trading Volume and Bid-Ask Spread Contain Information to Predict Stock Returns? Intraday Evidence from India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(3), pages 135-150, March.
    2. Sarika Mahajan & Balwinder Singh, 2013. "Return, Volume and Volatility Relationship in Indian Stock Market: Pre and Post Rolling Settlement Analysis," Global Business Review, International Management Institute, vol. 14(3), pages 413-428, September.

    More about this item

    Keywords

    Trading volume; Price change; contemporaneous relationship; lead-lag relationship; systematic irregularities; ARIMA filtering; Haugh test; Granger Sims Causality;
    All these keywords.

    JEL classification:

    • G - Financial Economics

    NEP fields

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