An Empirical Study Of Return-Volume Relationship For Indian Market
AbstractGenerally there is a common belief that returns and trading activities have a strong positive relationship. This paper analyzes return-volume relationship in Indian context, both in contemporaneous as well as lead- lag. Initial screening of returns and trading activity data shows some idiosyncratic aspect of Indian market although a positive return- activity relationship is acknowledged. This study also documents the dissimilarity in relationship for positive and negative changes in prices. As regards lead-lag relationship, this paper finds strong evidence of volume causing returns than vice-versa.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0504013.
Length: 18 pages
Date of creation: 15 Apr 2005
Date of revision:
Note: Type of Document - pdf; pages: 18
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Trading volume; Price change; contemporaneous relationship; lead-lag relationship; systematic irregularities; ARIMA filtering; Haugh test; Granger Sims Causality;
Find related papers by JEL classification:
- G - Financial Economics
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