IDEAS home Printed from https://ideas.repec.org/a/asi/ajoerj/v5y2015i9p152-159id3855.html
   My bibliography  Save this article

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

Author

Listed:
  • Rashmi Ranjan Paital

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.

Suggested Citation

  • Rashmi Ranjan Paital, 2015. "Is Price-Volume Relationship Asymmetry? Intraday Evidence from Indian Stock Market," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(9), pages 152-159.
    • Handle: RePEc:asi:ajoerj:v:5:y:2015:i:9:p:152-159:id:3855
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5004/article/view/3855/6066
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:ajoerj:v:5:y:2015:i:9:p:152-159:id:3855. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5004/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.