Exploring the Causal Relationship Between Stock Returns, Volume, and Turnover across Sectoral Indices in Indian Stock Market
Parab Narayan and
Y. V. Reddy
Metamorphosis: A Journal of Management Research, 2017, vol. 16, issue 2, 122-140
The traditional saying â€œMarket Discounts Everythingâ€ is applicable to stock returns, trading volume, and turnover as well. The present study is an analytical attempt to examine the causal relationship between stock returns, trading volume, and turnover across 10 sectoral indices of National Stock Exchange (NSE) for the period 2006â€“2016. To critically examine this relation, the study uses various statistical techniques such as descriptive statistics, correlation analysis, regression analysis, and econometric tests such as Granger causality test and augmented Dickeyâ€“Fuller test. The required analyses have been performed using statistical software E-views, SPSS, and Microsoft Excel. The study noticed a weak positive relationship between stock returns and turnover for Nifty Auto Index, Nifty Bank Index, Nifty Financial Services Index, Nifty Media Index, Nifty Metal Index, and Nifty Private Bank Index. The study also found a significant impact of turnover on stock returns in the case of Nifty Auto Index, Nifty Bank Index, Nifty FMCG Index, Nifty Metal Index, and Nifty Pharma Index and a significant impact of volume on stock returns in the case of Nifty Bank Index, Nifty FMCG Index, and Nifty Pharma Index. Augmented Dickeyâ€“Fuller test suggests that there exists no unit root in the data ( p
Keywords: Stock returns; trading volume; share turnover; sectoral indices (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sae:metjou:v:16:y:2017:i:2:p:122-140
Access Statistics for this article
More articles in Metamorphosis: A Journal of Management Research
Bibliographic data for series maintained by SAGE Publications ().