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The Empirical Investigation of Relationship Between Return, Volume & Volatility in Indian Stock Market

2016
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Release : 2016
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Book Synopsis The Empirical Investigation of Relationship Between Return, Volume & Volatility in Indian Stock Market by : Gurmeet Singh

Download or read book The Empirical Investigation of Relationship Between Return, Volume & Volatility in Indian Stock Market written by Gurmeet Singh. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to volume can be seen as some evidence that new information arrival might follow a sequential rather than a simultaneous process. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns. Finally, the findings of granger causality test records the evidence of one way causality from volatility to trading volume and from return to volume.

An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market

2013
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Release : 2013
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Book Synopsis An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market by : Pramod Kumar Naik

Download or read book An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market written by Pramod Kumar Naik. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has been tried to investigate whether the risk-return trade-off exist in the market. The findings show significant volatility asymmetry supporting the leverage effect; provide supports to MDH but the volatility shocks are found to be highly persistent even after incorporating trading volume. The study also finds evidence of no significant relationship between risk and return. The implication of the findings may be applicable to traders, speculator as well as the financial decision makers and practitioners as the trading volume reflects the information about market expectation.

Stock Market Dynamics

1997
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Release : 1997
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Book Rating : 905/5 ( reviews)

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Book Synopsis Stock Market Dynamics by : Robert Maria Margaretha Jozef Bauer

Download or read book Stock Market Dynamics written by Robert Maria Margaretha Jozef Bauer. This book was released on 1997. Available in PDF, EPUB and Kindle. Book excerpt:

Revisiting Volume-Volatility Relationship

2007
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Release : 2007
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Book Synopsis Revisiting Volume-Volatility Relationship by : Pradeep K Mavuluri

Download or read book Revisiting Volume-Volatility Relationship written by Pradeep K Mavuluri. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.

Dynamics of Trading Volume and Stock Returns

2014
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Release : 2014
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Book Synopsis Dynamics of Trading Volume and Stock Returns by : Manik Lakhani

Download or read book Dynamics of Trading Volume and Stock Returns written by Manik Lakhani. This book was released on 2014. Available in PDF, EPUB and Kindle. Book excerpt: This project intends to study the relationship between stock returns and their trading volume and to test the causality effects. It focuses on the 50 stocks of CNX Nifty which is a value-weighted stock index of National Stock Exchange of India. Three proxies of trading volume namely, numbers of transactions, total traded quantity (volume) and total Rupee value of the traded quantity (turnover) have been taken and the asymmetry in the relationship of returns and volume is tested through regression. The study also tries to find the best proxy for volume through granger causality. The results indicate that there is asymmetry in the relation between returns and volume and the best proxy of the volume is the turnover or the value of shares traded.

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