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Price-Volume Relationship: Some Evidence from the Indian Stock Market

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  • Devi Singh
  • P. Balasubramanian

Abstract

A contemporaneous relation between price and volume has been established by the present study which proves contrary to the Efficient Market Hypothesis. The methodology adopted for the study is that of Granger-Causality Test which investigates the dynamic relationship between price and volume between two time series. The study tests whether the knowledge of the behaviour of past volume improves conditional price forecasts over price forecast based on past price alone. The information could be considered to be either simultaneous or sequential. The result of the study supports the sequential information arrival hypothesis which states that knowledge of the behaviour of past volume improves the price forecasts. Of the twenty shares studied, 17 shares support the leading and lagging relation between price and volume.

Suggested Citation

  • Devi Singh & P. Balasubramanian, 2000. "Price-Volume Relationship: Some Evidence from the Indian Stock Market," Vision, , vol. 4(1), pages 17-28, January.
    • Handle: RePEc:sae:vision:v:4:y:2000:i:1:p:17-28
    DOI: 10.1177/097226290000400103
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    References listed on IDEAS

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    5. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    6. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 18(3), pages 1-1, March.
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