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Contemporaneous and Causal Relationship between Returns and Volumes: Evidence from Nifty Futures

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  • Aravind Sampath
  • Parth Garg

Abstract

Motivated by the mixture of distribution hypothesis (MDH) and sequential arrival of information hypothesis (SAIH), we investigate the relationship between intraday returns and volumes using derivatives data from the emerging Indian market. Using robust statistical estimation, we document the evidence of both MDH and SAIH in one of the most traded financial markets in India (and the world). We document the presence of strong positive association between returns and volumes. We further report the evidence of strong causality from intraday returns to volumes than vice versa.

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  • Aravind Sampath & Parth Garg, 2019. "Contemporaneous and Causal Relationship between Returns and Volumes: Evidence from Nifty Futures," International Review of Finance, International Review of Finance Ltd., vol. 19(3), pages 653-664, September.
    • Handle: RePEc:bla:irvfin:v:19:y:2019:i:3:p:653-664
    DOI: 10.1111/irfi.12175
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    Cited by:

    1. Kobana Abukari & Tov Assogbavi, 2019. "Price-Volume Granger Causality Tests in the Egyptian Stock Exchange (EGX)," Accounting and Finance Research, Sciedu Press, vol. 8(3), pages 1-48, August.

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