The high-volume return premium and macro-economic factors in Indian market

Harminder Singh, Peipei Wang and Vinh Duc Anh Hua

Pacific-Basin Finance Journal, 2025, vol. 91, issue C

Abstract: This study examines the predictability of high-volume return premium for future industrial production growth in the Indian securities market. While a small HVRP exists, its magnitude and significance are weaker than in the U.S. (Kaniel et al., 2012; Wang, 2021). The value-weighted premium (HVPVW) is significant only at the 10 % level, and the equal-weighted premium (HVPEW) at 5 %. Unlike the U.S., HVRP in India shows no predictive power for industrial production growth, with insignificant coefficients and negative adjusted R-square values. These findings highlight the limitations of applying developed market insights to emerging markets like India, where structural differences may weaken such relationships. This study underscores the importance of understanding local market dynamics in assessing financial anomalies.

Keywords: Return premium; Volume shock; Indian securities market (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x2500126x

DOI: 10.1016/j.pacfin.2025.102789

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