AN EMPIRICAL STUDY OF RETURN-VOLUME RELATIONSHIP FOR INDIAN MARKET

Mahesh Kumar Tambi
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Mahesh Kumar Tambi: ICFAI institute for Management Teachers

Finance from University Library of Munich, Germany

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.

Keywords: Trading volume; Price change; contemporaneous relationship; lead-lag relationship; systematic irregularities; ARIMA filtering; Haugh test; Granger Sims Causality (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 18 pages
Date: 2005-04-15
New Economics Papers: this item is included in nep-cwa
Note: Type of Document - pdf; pages: 18
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504013

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