The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market

Brajesh Kumar (), Priyanka Singh () and Ajay Pandey ()

Working Papers from eSocialSciences

Abstract: This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then the dynamic relation between returns and volume using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF) are examined. Mixture of Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and volume. [IIMA WP No. 2009-12-04].

Keywords: Indian stocks; Trading volume; Volatility; Mixture of distributions hypothesis; GARCH; Granger; Causality; VAR; Impulse response function; Variance decomposition (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-mst
Note: Institutional Papers
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