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An Empirical Study Of Return-Volume Relationship For Indian Market

Author

Listed:
  • Mahesh Kumar Tambi

    (ICFAI institute for Management Teachers)

Abstract

Generally 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.

Suggested Citation

  • Mahesh Kumar Tambi, 2005. "An Empirical Study Of Return-Volume Relationship For Indian Market," Finance 0504013, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0504013 Note: Type of Document - pdf; pages: 18
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    File URL: http://econwpa.repec.org/eps/fin/papers/0504/0504013.pdf
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    References listed on IDEAS

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    3. Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 827-851, April.
    4. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    5. Delianedis, Gordon & Geske, Robert, 1998. "Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults," University of California at Los Angeles, Anderson Graduate School of Management qt7dm2d31p, Anderson Graduate School of Management, UCLA.
    6. Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, issue Oct.
    7. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Rashmi Ranjan Paital & Naresh Kumar Sharma, 2016. "Do Trading Volume and Bid-Ask Spread Contain Information to Predict Stock Returns? Intraday Evidence from India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 6(3), pages 135-150, March.

    More about this item

    Keywords

    Trading volume; Price change; contemporaneous relationship; lead-lag relationship; systematic irregularities; ARIMA filtering; Haugh test; Granger Sims Causality;

    JEL classification:

    • G - Financial Economics

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