Is Price-Volume Relationship Asymmetry? Intraday Evidence from Indian Stock Market

Rashmi Ranjan Paital

Asian Journal of Empirical Research, 2015, vol. 5, issue 9, 152-159

Abstract: This paper examines the asymmetry in the price-volume relationship for 50 Indian stocks using high frequency 5-minute data set for the period July 2, 2012 to December 31, 2012. A dummy variable regression model is employed to check the asymmetric relationship. In sum, consistent with Moosa et al. (2003) we established an unusual asymmetry pattern in the return-volume relationship where this relationship is stronger when market goes up than when market goes down. Our findings do not support the proposition that “volume is relatively heavy in bull markets and light in bear markets”. A reason for this may be the Indian market is more sensitive to unfavorable news than favorable news.

Keywords: Asymmetric relationship; price-volume relationship; bull and bear markets; intraday; India (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5004/article/view/3855/6066 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:ajoerj:v:5:y:2015:i:9:p:152-159:id:3855

Access Statistics for this article

More articles in Asian Journal of Empirical Research from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().