Intraday Variability and Trading Volume: Evidence from National Stock Exchange

Aravind Sampath and Arun Kumar Gopalaswamy

Journal of Emerging Market Finance, 2020, vol. 19, issue 3, 271-295

Abstract: In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market depicting a ‘U’-shaped curve, implying high market activity during these periods. Second, while accounting for trading volume, we observe that volatility is not significantly different between mid-day period and evening period as compared to the normal ‘U’ curve. Finally, we document a significant positive relationship between intraday volume and price movements controlling for microstructure effects. The impact of positive returns on trading volume is higher than the impact of negative returns, implying the presence of return–volume asymmetry in the Indian market. JEL Codes: G12, G15

Keywords: Intraday patterns; India; National Stock Exchange; return–volume regressions (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:19:y:2020:i:3:p:271-295

DOI: 10.1177/0972652720930586

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